Large Dynamic Covariance Matrix Estimation with an Application to Portfolio Allocation: A Semiparametric Reproducing Kernel Hilbert Space Approach.
Siyang PengShaojun GuoYonghong LongPublished in: J. Syst. Sci. Complex. (2022)
Keyphrases
- covariance matrix
- semi parametric
- reproducing kernel hilbert space
- density estimation
- principal component analysis
- linear model
- sample size
- statistical inference
- least squares
- kernel methods
- loss function
- kernel function
- regression model
- feature space
- euclidean space
- learning problems
- probability density function
- input space
- mixture model
- gaussian process
- model selection
- distance measure
- probabilistic model
- data mining