Cited by 3,046Statistical Methods and InferenceRandom Matrices and ApplicationsAdvanced Statistical Methods and Models

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A well-conditioned estimator for large-dimensional covariance matrices

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Ledoit, Olivier, Wolf, Michael·2004·Journal of Multivariate Analysis

DOI 10.1016/s0047-259x(03)00096-4

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Authors: Ledoit, O., & Wolf, M.
Affiliations: University of California, Los Angeles (US)
Universitat Pompeu Fabra (ES)
Corresponding author: Wolf, Michael
ORCID: Ledoit, Olivier
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)
DOI: 10.1016/s0047-259x(03)00096-4
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: www.elsevier.com/tdm/userlicense/1.0/ (tdm)
www.elsevier.com/open-access/userlicense/1.0/ (vor, 3490 d)
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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A well-conditioned estimator for large-dimensional covariance matrices

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