Econometrics and Business Statistics Seminar: Michael Wolf, UZH
Title: Shrinkage estimation of large covariance matrices: Keep it simple, statistician?
Info about event
Time
Location
Fuglesangs Allé 4, Building 2632(L), Room 242
Speaker: Michael Wolf, UZH
Title: Shrinkage estimation of large covariance matrices: Keep it simple, statistician? (link to paper)
Area of research: Nonparametric Inference Methods, Multiple Testing Procedures, Financial Econometrics, Large-Dimensional Covariance Matrices
Host: Mikkel Bennedsen
Organisers: Luke Taylor and Mikkel Bennedsen