Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/201532 
Erscheinungsjahr: 
2019
Schriftenreihe/Nr.: 
Working Paper No. 327
Verlag: 
University of Zurich, Department of Economics, Zurich
Zusammenfassung: 
Under rotation-equivariant decision theory, sample covariance matrix eigenvalues can be optimally shrunk by recombining sample eigenvectors with a (potentially nonlinear) function of the unobservable population covariance matrix. The optimal shape of this function reflects the loss/risk that is to be minimized. We introduce a broad family of covariance matrix estimators that can handle all regular functional transformations of the population covariance matrix under large-dimensional asymptotics. We solve the problem of optimal covariance matrix estimation under a variety of loss functions motivated by statistical precedent, probability theory, and differential geometry. The key statistical ingredient of our nonlinear shrinkage methodology is a new estimator of the angle between sample and population eigenvectors, without making strong assumptions on the population eigenvalues. We also compare our methodology to two simpler ones from the literature, linear shrinkage and shrinkage based on the spiked covariance model, via both Monte Carlo simulations and an empirical application.
Schlagwörter: 
large-dimensional asymptotics
random matrix theory
rotation equivariance
JEL: 
C13
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