57 citations · 78 across the 2 of their papers we have counts for
2 papers
cs.IT2012★ 21 cited
A CLT on the SNR of Diagonally Loaded MVDR Filters
Francisco Rubio, Xavier Mestre, Walid Hachem
This paper studies the fluctuations of the signal-to-noise ratio (SNR) of minimum variance distorsionless response (MVDR) filters implementing diagonal loading in the estimation of…
q-fin.PM2011★ 57 cited
Performance analysis and optimal selection of large mean-variance portfolios under estimation risk
Francisco Rubio, Xavier Mestre, Daniel P. Palomar
We study the consistency of sample mean-variance portfolios of arbitrarily high dimension that are based on Bayesian or shrinkage estimation of the input parameters as well as weig…