It is of interest to know what the covariance of sample mean and sample variance is without the assumption of normality. In this article we study such a problem. We show a simple derivation of the ...

The standard method for the comparison of two or more sample covariance matrices is the likelihood ratio test. The purpose of the present paper is to show how this test can be made more informative by ...

Investopedia contributors come from a range of backgrounds, and over 25 years there have been thousands of expert writers and editors who have contributed. Gordon Scott has been an active investor and ...

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 ...