2023
DOI: 10.1177/21582440231174777
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A Best Linear Empirical Bayes Method for High-Dimensional Covariance Matrix Estimation

Abstract: Covariance matrix estimation plays a significant role in both in the theory and practice of portfolio analysis and risk management. This paper deals with the available data prior to developing a factor model to enhance covariance matrix estimation. Our work has two main outcomes. First, for a general linear model with unknown prior parameters, a class of best linear empirical Bayes estimators is established through two kinds of architectures to improve the estimation accuracy by utilizing additional data prior… Show more

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“…In recent years, various regularization methods have been proposed. For example, l 1 -penalized normal likelihood method [7,8] maximum likelihood method [9][10][11], penalized generalized Sylvester matrix equation [12], Dantzig selector method [13] and modified Cholesky's decomposition-based method [14,15], and among others.…”
Section: Introductionmentioning
confidence: 99%
“…In recent years, various regularization methods have been proposed. For example, l 1 -penalized normal likelihood method [7,8] maximum likelihood method [9][10][11], penalized generalized Sylvester matrix equation [12], Dantzig selector method [13] and modified Cholesky's decomposition-based method [14,15], and among others.…”
Section: Introductionmentioning
confidence: 99%