9 citations · 9 across the 3 of their papers we have counts for
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stat.AP2019
Covariance Matrix Estimation under Total Positivity for Portfolio Selection
Raj Agrawal, Uma Roy, Caroline Uhler
Selecting the optimal Markowitz porfolio depends on estimating the covariance matrix of the returns of assets from periods of historical data. Problematically, is typic…
stat.ME2019
Learning High-dimensional Gaussian Graphical Models under Total Positivity without Adjustment of Tuning Parameters
Yuhao Wang, Uma Roy, Caroline Uhler
We consider the problem of estimating an undirected Gaussian graphical model when the underlying distribution is multivariate totally positive of order 2 (MTP2), a strong form of p…