Publication: Numerical implementation of the QuEST function
Numerical implementation of the QuEST function
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Ledoit, O., & Wolf, M. (2017). Numerical implementation of the QuEST function. Computational Statistics & Data Analysis, 115, 199–223. https://doi.org/10.1016/j.csda.2017.06.004
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Certain estimation problems involving the covariance matrix in large dimensions are considered. Due to the breakdown of finite-dimensional asymptotic theory when the dimension is not negligible with respect to the sample size, it is necessary to resort to an alternative framework known as large-dimensional asymptotics. Recently, an estimator of the eigenvalues of the population covariance matrix has been proposed that is consistent according to a mean-squared criterion under large-dimensional asymptotics. It requires numerical inversi
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- Ledoit, Olivier
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Ledoit, O., & Wolf, M. (2017). Numerical implementation of the QuEST function. Computational Statistics & Data Analysis, 115, 199–223. https://doi.org/10.1016/j.csda.2017.06.004
