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A well-conditioned estimator for large-dimensional covariance matrices

20032,842 citationsJournal Article

Authors

Olivier Ledoit · Anderson University - South Carolina

Michael Wolf · Universitat Pompeu Fabra

Topics & Keywords

Random Matrices and Applications Matrix Theory and Algorithms Markov Chains and Monte Carlo Methods

Publication Details

Published in: Journal of Multivariate Analysis

Volume 88, Issue 2, pp. 365-411

DOI: 10.1016/s0047-259x(03)00096-4

Field-Weighted Citation Impact: 12.05

A well-conditioned estimator for large-dimensional covariance matrices | Researchclopedia