Data for: Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage
收藏Mendeley Data2026-04-18 收录
下载链接：
https://data.mendeley.com/datasets/jbjpp485t5
下载链接
链接失效反馈官方服务：
资源简介：
Fixed support positive definite modification of covariance matrix estimators via linear shrinkage
by Young-Geun Choi, Junyong Park, Anindya Roy, and Johan Lim
Chapter 4. Simulations
run the followings consequtively (1 -> 2 -> 3 and 4):
1. (repeatedly generate data and calculate estimators and store results) /simulation/simul_cov/covsim.R
2. (aggregate results over replications) /simulation/simul_cov/replication_aggregate.R
3. (2.1 empirical spectrum) /simulation/simul_cov/result_empiricalspectrum.R
4. (2.2 error comparison) /simulation/simul_cov/result_empiricalerrors.R
Chapter 5. Data examples
5.1. Speech recognition (coded in MATLAB):
run /data_examples/1_speech/DA_main.m
5.2. Portfolio (coded in MATLAB):
run /data_examples/2_portfolio/positiveMVR_exec_daily.m and simpleMVR_exec_daily.m
创建时间：
2018-12-24
