An Introduction to Shrinkage Estimation of the Covariance Matrix: A Pedagogic Illustration
Shrinkage estimation of the covariance matrix of asset returns was introduced to the finance profession several years ago. Since then, the approach has also received considerable attention in various life science studies, as a remedial measure for covariance matrix estimation with insufficient obser...
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| Format: | Article |
| Language: | English |
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McMaster University
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| Series: | Spreadsheets in Education |
| Online Access: | http://sie.scholasticahq.com/article/4569-an-introduction-to-shrinkage-estimation-of-the-covariance-matrix-a-pedagogic-illustration.pdf |