147 citations · 153 across the 5 of their papers we have counts for
5 papers
Hedging Forecast Combinations With an Application to the Random Forest
Elliot Beck, Damian Kozbur, Michael Wolf
This papers proposes a generic, high-level methodology for generating forecast combinations that would deliver the optimal linearly combined forecast in terms of the mean-squared f…
R-NL: Covariance Matrix Estimation for Elliptical Distributions based on Nonlinear Shrinkage
Simon Hediger, Jeffrey Näf, Michael Wolf
We combine Tyler's robust estimator of the dispersion matrix with nonlinear shrinkage. This approach delivers a simple and fast estimator of the dispersion matrix in elliptical mod…
Numerical Implementation of the QuEST Function
Olivier Ledoit, Michael Wolf
This paper deals with certain estimation problems involving the covariance matrix in large dimensions. Due to the breakdown of finite-dimensional asymptotic theory when the dimensi…
Spectrum Estimation: A Unified Framework for Covariance Matrix Estimation and PCA in Large Dimensions
Olivier Ledoit, Michael Wolf
Covariance matrix estimation and principal component analysis (PCA) are two cornerstones of multivariate analysis. Classic textbook solutions perform poorly when the dimension of t…
Control of generalized error rates in multiple testing
Joseph P. Romano, Michael Wolf
Consider the problem of testing hypotheses simultaneously. The usual approach restricts attention to procedures that control the probability of even one false rejection, the fa…