Discover how to calculate covariance to assess stock relationships and optimize your portfolio, balancing risk and potential ...

Harry Markowitz famously quipped that diversification is the only free lunch in investing. What he did not say is that this is only true if correlations are known and stable over time. Markowitz’s ...

The BLOCKS statement finds a design that maximizes the determinant |X'AX| of the treatment information matrix, where A depends on the block or covariate model. Alternatively, you can directly specify ...

Graphical models provide a robust framework for representing the conditional independence structure between variables through networks, enabling nuanced insight into complex high-dimensional data.

This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle Approximating Shrinkage (OAS) of Chen et al. (2009) to target the diagonal elements of ...