Olivier Ledoit, Michael Wolf, Some Hypothesis Tests for the Covariance Matrix When the Dimension Is Large Compared to the Sample Size, The Annals of Statistics, Vol. 30, No. 4 (Aug., 2002), pp.

We consider estimation of the covariance matrix of a multivariate random vector under the constraint that certain covariances are zero. We first present an algorithm, which we call iterative ...

This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle Approximating Shrinkage (OAS) of Chen et al. (2009) to target the diagonal elements of ...

The estimation of portfolio value-at-risk (VaR) requires a good estimate of the covariance matrix. As it is well known that a sample covariance matrix based on some historical rolling window is noisy ...