2026-10-16T04:47:27Z https://data.mendeley.com/oai

oai:data.mendeley.com/jbjpp485t5.1 2018-12-24T10:26:28Z

Lim, Johan Data for: Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage Mendeley Data 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 Covariance Matrix Estimation Choi, Young-Geun Dataset doi:10.17632/jbjpp485t5.1 oai:data.mendeley.com/jbjpp485t5.1 Creative Commons Attribution 4.0 International http://creativecommons.org/licenses/by/4.0 https://data.mendeley.com/datasets/jbjpp485t5 2018-12-24T10:26:28Z