The DOI matches its Crossref record; 25 of the 25 references it cites were found in a registry or an index.
A well-conditioned estimator for large-dimensional covariance matrices
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“The optimal value of α is computed by finding a bias-variance trade-off with no assumption on the data distribution.”
From Signal Estimation and Uncertainties Extraction in Terahertz Time-Domain Spectroscopy (2025) · cites this paper as [55]
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Cites
Markowitz, H. M. (1952) · The Journal of Finance · doi:10.1111/j.1540-6261.1952.tb01525.x · Cited by 18,429
Large Sample Properties of Generalized Method of Moments Estimators
Hansen, L. P. (1982) · Econometrica · doi:10.2307/1912775 · Cited by 13,467
Estimation with Quadratic Loss
James, W., & Stein, C. M. (1992) · Springer series in statistics · doi:10.1007/978-1-4612-0919-5_30 · Cited by 2,319
DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
Marčenko, V. A., & Pastur, L. A. (1967) · Mathematics of the USSR-Sbornik · doi:10.1070/sm1967v001n04abeh001994 · Cited by 1,713
Ledoit, O., & Wolf, M. (2003) · Journal of Empirical Finance · doi:10.1016/s0927-5398(03)00007-0 · Cited by 1,637
Self-citationThe Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?
Michaud, R. O. (1989) · Financial Analysts Journal · doi:10.2469/faj.v45.n1.31 · Cited by 1,384
Strong Convergence of the Empirical Distribution of Eigenvalues of Large Dimensional Random Matrices
Silverstein, J. W. (1995) · Journal of Multivariate Analysis · doi:10.1006/jmva.1995.1083 · Cited by 560
Estimation for Markowitz Efficient Portfolios
Jobson, J. D., & Korkie, B. (1980) · Journal of the American Statistical Association · doi:10.1080/01621459.1980.10477507 · Cited by 555
Limit of the Smallest Eigenvalue of a Large Dimensional Sample Covariance Matrix
Bai, Z., & Yin, Y. (1993) · The Annals of Probability · doi:10.1214/aop/1176989118 · Cited by 546
An Empirical Bayes Approach to Efficient Portfolio Selection
Frost, P. A., & Savarino, J. E. (1986) · Journal of Financial and Quantitative Analysis · doi:10.2307/2331043 · Cited by 391
Research works printed but not linked: 3
- S.A. Aivazyan, I.S. Yenukov, L.D. Meshalkin, Applied Statistics, Reference Edition M., Finances and Statistics, 1985 (Russian).
- Girko, 1986, G-analysis of observations of enormous dimensionality, Calculative Appl. Math., 60, 115
- Girko, 1986, G2-estimations of spectral functions of covariance matrices, Theor. Probab. Math. Statist., 35, 28
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Signal Estimation and Uncertainties Extraction in Terahertz Time-Domain Spectroscopy
Denakpo, E., Hannotte, T., Osseiran, N., Orieux, F., & Peretti, R. (2025) · IEEE Transactions on Instrumentation and Measurement · doi:10.1109/tim.2025.3554287 · Cited by 6
“To avoid this inversion problem, the shrinkage method has been proposed by Ledoit and Wolf [55] (Ledoit–Wolf shrinkage).”
Vaparanta, K., Merilahti, J. A. M., Ojala, V. K., & Elenius, K. (2024) · Molecular & Cellular Proteomics · doi:10.1016/j.mcpro.2024.100780 · Cited by 3
Fast probabilistic whitening transformation for ultra-high dimensional genetic data
Hoffman, G. E., Dillard, C. P., Girdhar, K., & Roussos, P. (2026) · PLOS Genetics · doi:10.1371/journal.pgen.1012320
Metadata
- Authors
- Ledoit, O., & Wolf, M.
- Affiliations
- University of California, Los Angeles (US)
- Universitat Pompeu Fabra (ES)
- Corresponding author
- Wolf, Michael
- Venue
- Journal of Multivariate Analysis
- Publisher
- Elsevier BV
- Published
- 2004-02
- Volume
- 88
- Issue
- 2
- Pages
- 365-411
- ISSN
- 0047-259X (ISSN-L)
- OpenAlex
- W2062125287
- Semantic Scholar
- b40890f3d917379ac4bd2e0933a134d45b4dc251
- Cited by
- 3,046
- References
- 24
- Citations by year
- 2026: 355 · 2025: 228 · 2024: 191 · 2023: 178 · 2022: 178 · 2021: 193 · 2020: 198 · 2019: 208 · 2018: 199 · 2017: 146 · 2016: 140 · 2015: 152 · 2014: 137 · 2013: 108 · 2012: 99
- FWCI
- 12.70
- Type
- journal article
- Language
- en
- Open access
- bronze
- doi.org
- Licence
- Locations
- Journal of Multivariate Analysis (publishedVersion)
- RePEc: Research Papers in Economics (submittedVersion)
- e-Archivo (Carlos III University of Madrid) (submittedVersion, cc-by-nc-nd)
- Funders
- Yale University
- McDonnell Center for Systems Neuroscience
- Topics
- Physical Sciences › Mathematics › Statistics and Probability › Statistical Methods and Inference
- Physical Sciences › Mathematics › Statistics and Probability › Random Matrices and Applications
- Physical Sciences › Mathematics › Statistics and Probability › Advanced Statistical Methods and Models
- Keywords
- covariance matrix estimation, sample covariance matrix, convex combination, asymptotic optimality, squared error loss
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