Olivier Ledoit

Publication Activity (10 Years)

Years Active: 2015-2021
Publications (10 Years): 2

Top Topics

Geometrical Interpretation

Covariance Matrices

Estimation Error

Top Venues

J. Multivar. Anal.

Comput. Stat. Data Anal.

Publications

Olivier Ledoit, Michael Wolf
Shrinkage estimation of large covariance matrices: Keep it simple, statistician? J. Multivar. Anal. 186 (2021)
Olivier Ledoit, Michael Wolf
Numerical implementation of the QuEST function. Comput. Stat. Data Anal. 115 (2017)
Olivier Ledoit, Michael Wolf
Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions. J. Multivar. Anal. 139 (2015)