R-NL: Covariance Matrix Estimation for Elliptical Distributions based on Nonlinear Shrinkage

R-NL: Covariance Matrix Estimation for Elliptical Distributions based on Nonlinear Shrinkage

We combine Tyler's robust estimator of the dispersion matrix with nonlinear shrinkage. This approach delivers a simple and fast estimator of the dispersion matrix in elliptical models that is robust against both heavy tails and high dimensions. We prove convergence of the iterative part o...

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Bibliographic Details
Main Authors: Hediger, S. (Author), Naf, J. (Author), Wolf, M. (Author)
Format: Article
Language:English
Published: Institute of Electrical and Electronics Engineers Inc. 2023
Subjects:
Convergence
Covariance matrices
Covariance matrix
Covariance matrix estimation
Dispersion
Dispersion matrix
Dispersions
Eigenvalue and eigenfunctions
Eigenvalues and eigenfunctions
Estimation
Financial data processing
Heavily-tailed distribution
Heavy Tails
Heavy-tails
Iterative methods
Nonlinear analysis
Nonlinear shrinkage
Nonlinear Shrinkage
Portfolio optimization
Portfolio Optimization
Shrinkage
Tail
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