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 ...

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In practice, observations are often contaminated by noise, making the resulting sample covariance matrix a signal-plus-noise sample covariance matrix. Aiming to make inferences about the spectral ...

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 ...