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Covariance and correlation / Numerical linear algebra / Multivariate statistics / Estimation of covariance matrices / Covariance matrix / Cholesky decomposition / Principal component analysis / Covariance / Variance / Statistics / Data analysis / Estimation theory


Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity Kris Boudt, Sébastien Laurent, Asger Lunde and Rogier Quaedvlieg CREATES Research Paper
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Document Date: 2014-02-25 03:07:30

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File Size: 711,91 KB

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City

Amsterdam / Vrije Universiteit Brussel / /

Company

H. / /

Country

Belgium / France / Netherlands / Denmark / /

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Facility

Maastricht University / Aarhus University / University Amsterdam / /

IndustryTerm

web-appendix / economic and statistical applications / /

OperatingSystem

Aix / /

Organization

Danish National Research Foundation / Aarhus University / Center for Research / Department of Finance / Department of Economics / Maastricht University / Aix-Marseille Univ. / Dutch Organization for Scientific Research / Aix-Marseille School of Economics / Department of Business / Department of Economics and Business Aarhus University Fuglesangs Allé / /

Person

Sébastien Laurent / Kris Boudt / Francesco Violante / Kris Boudta / Mark Podolskij / /

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Position

RDCC model / Corresponding author / /

Product

HTC HD2 Smartphone / Cholesky / /

Technology

following algorithm / simulation / /

URL

http /

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