Olivier Ledoit, Michael Wolf, Some Hypothesis Tests for the Covariance Matrix When the Dimension Is Large Compared to the Sample Size, The Annals of Statistics, Vol. 30, No. 4 (Aug., 2002), pp.

The purpose of The Annals of Probability is to publish contributions to the theory of probability and statistics and their applications. The emphasis is on importance and interest; formal novelty and ...

This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle Approximating Shrinkage (OAS) of Chen et al. (2009) to target the diagonal elements of ...

The parametric method, also known as the variance-covariance method, is a risk management technique for calculating the VaR of a portfolio of assets that first identifies the mean, or expected ...