This is a preview. Log in through your library . Abstract We consider a multivariate heavy-tailed stochastic volatility model and analyze the large-sample behavior of its sample covariance matrix. We ...
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 ...
Vol. 38, No. 3, Special Issue: Analysis of Covariance (Sep., 1982), pp. 651-660 (10 pages) When a treatment influences both the primary response and the covariate, a standard analysis of covariance ...
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