Data for: Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage

Published: 24 December 2018| Version 1 | DOI: 10.17632/jbjpp485t5.1
Contributors:
Johan Lim, Young-Geun Choi

Description

Fixed support positive definite modification of covariance matrix estimators via linear shrinkage by Young-Geun Choi, Junyong Park, Anindya Roy, and Johan Lim Chapter 4. Simulations run the followings consequtively (1 -> 2 -> 3 and 4): 1. (repeatedly generate data and calculate estimators and store results) /simulation/simul_cov/covsim.R 2. (aggregate results over replications) /simulation/simul_cov/replication_aggregate.R 3. (2.1 empirical spectrum) /simulation/simul_cov/result_empiricalspectrum.R 4. (2.2 error comparison) /simulation/simul_cov/result_empiricalerrors.R Chapter 5. Data examples 5.1. Speech recognition (coded in MATLAB): run /data_examples/1_speech/DA_main.m 5.2. Portfolio (coded in MATLAB): run /data_examples/2_portfolio/positiveMVR_exec_daily.m and simpleMVR_exec_daily.m

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Covariance Matrix Estimation

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