Data for: Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage

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

基于线性收缩的协方差矩阵估计量固定支撑正定修正
作者：Young-Geun Choi、Junyong Park、Anindya Roy、Johan Lim

第4章 仿真实验
按以下顺序依次执行（1→2→3及4）：
1. （重复生成数据、计算估计量并存储结果）：/simulation/simul_cov/covsim.R
2. （对重复实验的结果进行聚合）：/simulation/simul_cov/replication_aggregate.R
3. （2.1 经验谱分析）：/simulation/simul_cov/result_empiricalspectrum.R
4. （2.2 误差对比）：/simulation/simul_cov/result_empiricalerrors.R

第5章 实例数据
5.1 语音识别（基于MATLAB编写）：执行 /data_examples/1_speech/DA_main.m
5.2 投资组合（基于MATLAB编写）：执行 /data_examples/2_portfolio/positiveMVR_exec_daily.m 与 /data_examples/2_portfolio/simpleMVR_exec_daily.m