462 citations · 473 across the 4 of their papers we have counts for
4 papers
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…
Nonlinear shrinkage estimation of large-dimensional covariance matrices
Olivier Ledoit, Michael Wolf
Many statistical applications require an estimate of a covariance matrix and/or its inverse. When the matrix dimension is large compared to the sample size, which happens frequentl…
Eigenvectors of some large sample covariance matrix ensembles
Olivier Ledoit, Sandrine Péché
We consider sample covariance matrices where is a real or complex matrix with i.i.d. entries with finite $12^{\rm th…