We study sample covariance matrices of the form $W=(1/n)CC^{\intercal}$, where C is a k × n matrix with independent and identically distributed (i.i.d.) mean 0 ...

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 ...

Harry Markowitz famously quipped that diversification is the only free lunch in investing. What he did not say is that this is only true if correlations are known and stable over time. Markowitz’s ...

This article proposes a data-driven method to identify parsimony in the covariance matrix of longitudinal data and to exploit any such parsimony to produce a statistically efficient estimator of the ...

The BLOCKS statement finds a design that maximizes the determinant |X'AX| of the treatment information matrix, where A depends on the block or covariate model. Alternatively, you can directly specify ...

The following data are from Pothoff and Roy (1964) and consist of growth measurements for 11 girls and 16 boys at ages 8, 10, 12, and 14. Some of the observations are suspect (for example, the third ...