Covariance is a statistical measure of how two assets move in relation to each other. It provides diversification and reduces the overall volatility of a portfolio. A positive covariance indicates ...

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 ...

Graphical models provide a robust framework for representing the conditional independence structure between variables through networks, enabling nuanced insight into complex high-dimensional data.

Procedures for calculating the additive genetic variance-covariance matrix and its inverse are adapted to accommodate the occurrence of mutations in the genome. The inverse matrix can be used in mixed ...