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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Lawhern, V. J., Solon, A. J., Waytowich, N. R., Gordon, S. M., Hung, C. P., & Lance, B. J. (2018) · Journal of Neural Engineering · doi:10.1088/1741-2552/aace8c · Cited by 5,115
Deep learning with convolutional neural networks for EEG decoding and visualization
Schirrmeister, R. T., Springenberg, J. T., Fiederer, L. D. J., Glasstetter, M., Eggensperger, K., Tangermann, M., Hutter, F., Burgard, W., & Ball, T. (2017) · Human Brain Mapping · doi:10.1002/hbm.23730 · Cited by 3,751
“As in many previous studies (Lotte et al., 2007), we used regularized linear discriminant analysis (RLDA) as the classifier, with shrinkage regularization (Ledoit and Wolf, 2004).”
Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?
DeMiguel, V., Garlappi, L., & Uppal, R. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhm075 · Cited by 3,199
A review of classification algorithms for EEG-based brain–computer interfaces: A 10 year update
Lotte, F., Bougrain, L., Cichocki, A., Clerc, M., Congedo, M., Rakotomamonjy, A., & Yger, F. (2018) · Journal of Neural Engineering · doi:10.1088/1741-2552/aab2f2 · Cited by 2,239
Massive MIMO Networks: Spectral, Energy, and Hardware Efficiency
Björnson, E., Hoydis, J., & Sanguinetti, L. (2017) · Foundations and Trends® in Signal Processing · doi:10.1561/2000000093 · Cited by 2,299
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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