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Covariance Matrix Estimation Under Positivity Constraints With Application to Portfolio Selection.
Ghania Fatima
Prabhu Babu
Petre Stoica
Published in:
IEEE Signal Process. Lett. (2022)
Keyphrases
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covariance matrix
portfolio selection
estimation error
covariance matrices
principal component analysis
computer vision
least squares
sample size
short term
robust optimization