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Correlation matrix

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khamsing
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Joined: May 12th, 2005, 7:13 am

Correlation matrix

November 9th, 2005, 2:01 pm

Hi!does anyone ever heard about correlation matrix shrinking?Thanks for any hint...
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Errrb
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Joined: December 17th, 2002, 4:18 pm

Correlation matrix

November 10th, 2005, 7:58 pm

You probably mean shrinking estimator.
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jasba
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Joined: June 21st, 2005, 6:08 pm

Correlation matrix

November 10th, 2005, 9:30 pm

this paper's great: http://www.ledoit.net/honey.pdfthere is also matlab code to go with it on that same website.
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khamsing
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Joined: May 12th, 2005, 7:13 am

Correlation matrix

November 11th, 2005, 8:56 am

Thanks Jasba!!!!The paper seems to be very interesting.Thanks a million again!
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par
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Joined: July 14th, 2002, 3:00 am

Correlation matrix

November 17th, 2005, 5:20 pm

Does anyone have a clue how he arrives at his estimator for pi, the one he calls r2 in his matlab code?
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