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Tagged with covariance-estimation random-matrix-theory
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Distribution of sample covariance times inverse covariance times sample covariance
I want to understand the distribution of the random variable:
$$S_n = \frac{1}{n^2} 1'\hat \Sigma \Sigma ^{-1} \hat \Sigma 1$$.
1 is a vector of ones of size n, and the variance is of size nxn. $\hat \...
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Effective Time Length of Exponentially Weighted Covariance Matrix Estimate
In [1] Pafka, Potters and Kondor mention the following in section 2:
In contrast, if this covariance matrix estimate is used for portfolio optimization (i.e.
for selecting the portfolio in a ...
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