A flexible method is introduced to model the structure of a covariance matrix C and study the dependence of the covariances on explanatory variables by observing that for any real symmetric matrix A, ...
The expectation maximization (EM) algorithm is a popular, and often remarkably simple, method for maximum likelihood estimation in incomplete-data problems. One criticism of EM in practice is that ...
Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle ...
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