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Covariance Matrix Estimation Under Positivity Constraints With Application to Portfolio Selection.

Ghania FatimaPrabhu BabuPetre Stoica
Published in: IEEE Signal Process. Lett. (2022)
Keyphrases
  • covariance matrix
  • portfolio selection
  • estimation error
  • covariance matrices
  • principal component analysis
  • computer vision
  • least squares
  • sample size
  • short term
  • robust optimization