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Positive Definite $\ell_1$ Penalized Estimation of Large Covariance Matrices
Alternating direction methods Large covariance matrices Matrix norm Positive-de nite estimation Sparsity Soft-thresholding.
2012/9/18
The thresholding covariance estimator has nice asymptotic properties for estimating sparse large covariance matrices, but it often has negative eigenvalues when used in real data analysis. To simultan...
The empirical properties of large covariance matrices
Covariance matrix spectrum spectral density
2010/10/29
The salient properties of large empirical covariance and correlation matrices are studied for
three datasets of size 54, 55 and 330. The covariance is defined as a simple cross product of the returns...