An account from first principles is given of a number of aspects of analysis of covariance. Six different meanings of analysis of covariance are outlined and the history of this technique is sketched ...

This is a preview. Log in through your library . Abstract The assumption of separability of the covariance operator for a random image or hypersurface can be of substantial use in applications, ...

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 estimated covariance matrix of the parameter estimates is computed as the inverse Hessian matrix, and for unconstrained problems it should be positive definite. If the final parameter estimates ...

Many problems in quantitative finance involve both predictive forecasting and decision-based optimization. Traditionally, covariance forecasting models are optimized with unique prediction-based ...