This article proposes a data-driven method to identify parsimony in the covariance matrix of longitudinal data and to exploit any such parsimony to produce a statistically efficient estimator of the ...

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 ...

The BLOCKS statement finds a design that maximizes the determinant |X'AX| of the treatment information matrix, where A depends on the block or covariate model. Alternatively, you can directly specify ...

Unfortunately, if you try to fit models of Form B or Form C without additional constraints, you cannot obtain unique estimates of the parameters. These models have four parameters (one coefficient and ...

This short paper demonstrates how a covariance matrix estimated using log returns of multiple assets in their respective base currencies can be converted directly into a covariance matrix in a single ...

We consider the problem of finding a valid covariance matrix in the foreign exchange market given an initial nonpositively semidefinite (non-PSD) estimate of such a matrix. The common no-arbitrage ...

Tang, Gnecco, and Geller (1989, Biometrika 76, 577-583) proposed an approximate likelihood ratio (ALR) test of the null hypothesis that a normal mean vector equals a null vector against the ...

Investopedia contributors come from a range of backgrounds, and over 25 years there have been thousands of expert writers and editors who have contributed. Dr. JeFreda R. Brown is a financial ...