Buch

High-Dimensional Covariance Matrix Estimation
-An Introduction to Random Matrix Theory-Aygul Zagidullina
74,89
EUR
Lieferzeit 12-13 Tage
Übersicht
Verlag | : | Springer International Publishing |
Buchreihe | : | SpringerBriefs in Applied Statistics and Econometrics |
Sprache | : | Englisch |
Erschienen | : | 13. 01. 2022 |
Einband | : | Kartoniert |
Höhe | : | 235 mm |
Breite | : | 155 mm |
ISBN | : | 9783030800642 |
Sprache | : | Englisch |
Autorinformation
Aygul Zagidullina received her Ph.D. in Quantitative Economics and Finance from the University of Konstanz, Germany, with a specialization in the areas of financial econometrics and statistical modeling. Her research interests include estimation of high-dimensional covariance matrices, machine learning, factor models and neural networks.
Inhaltsverzeichnis
Foreword.- 1 Introduction.- 2 Traditional Estimators and Standard Asymptotics.- 3 Finite Sample Performance of Traditional Estimators.- 4 Traditional Estimators and High-Dimensional Asymptotics.- 5 Summary and Outlook.- Appendices.