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 (No. 215; Working Paper Series / Department of Economics).
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This paper deals with certain estimation problems involving the covariance matrix in large dimensions. 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, Ledoit and Wolf (2015) have proposed an estimator of the eigenvalues of the population covariance matrix that is consistent according to a mean-square criterion under large-dimensional asymptotics. It r
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Ledoit, O., & Wolf, M. (2017). Numerical implementation of the QuEST function (No. 215; Working Paper Series / Department of Economics).
