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Correlation matrix
Posted: November 9th, 2005, 2:01 pm
by khamsing
Hi!does anyone ever heard about correlation matrix shrinking?Thanks for any hint...
Correlation matrix
Posted: November 10th, 2005, 7:58 pm
by Errrb
You probably mean shrinking estimator.
Correlation matrix
Posted: November 10th, 2005, 9:30 pm
by jasba
this paper's great:
http://www.ledoit.net/honey.pdfthere is also matlab code to go with it on that same website.
Correlation matrix
Posted: November 11th, 2005, 8:56 am
by khamsing
Thanks Jasba!!!!The paper seems to be very interesting.Thanks a million again!
Correlation matrix
Posted: November 17th, 2005, 5:20 pm
by par
Does anyone have a clue how he arrives at his estimator for pi, the one he calls r2 in his matlab code?