An important problem in multivariate statistics is the estimation of covariance matrices. We consider a class of nonparametric covariance models in which the entries in the covariance matrix depend on ...
Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle ...
We extend the KVB approach of Kiefer, Vogelsang, and Bunzel (2000) to constructing robust M tests without consistent estimation of the asymptotic covariance matrix. We demonstrate that, when model ...
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