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stat.ME2026
Restricted nonlinear shrinkage of high-dimensional residual covariance matrices in multivariate regressions
Hamid Karamikabir, Mohammad Arashi
We study estimation of the p*p residual scatter (shape) matrix in a high-dimensional multivariate linear regression, where p and n grow proportionally. When the coefficient matrix…
stat.ME2026
Mens: Nonlinear shrinkage estimation in nonparanormal models for financial applications
Hamid Karamikabir, Mohammad Arashi
We develop a theory of nonlinear shrinkage covariance estimation for nonparanormal (Gaussian-copula) models, in which each observed coordinate is an unknown strictly increasing tra…