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 ...
We consider estimation of covariance matrices and their inverses (a.k.a. precision matrices) for high-dimensional stationary and locally stationary time series. In the latter case the covariance ...
Tang, Gnecco, and Geller (1989, Biometrika 76, 577-583) proposed an approximate likelihood ratio (ALR) test of the null hypothesis that a normal mean vector equals a null vector against the ...
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