JSTOR Daily

Sample Mean and Sample Variance: Their Covariance and Their (In)Dependence

It is of interest to know what the covariance of sample mean and sample variance is without the assumption of normality. In this article we study such a problem. We show a simple derivation of the ...
JSTOR Daily

Optimality of the Sample Variance-Covariance Matrix in Repeated Measurement Designs

This is a preview. Log in through your library . Abstract This paper adds motivations for the use of the sample variance-covariance matrix estimator $\hat{\Sigma}$ in repeated measurement designs by: ...
Investopedia

Parametric Method in Value at Risk (VaR): Definition and Examples

Investopedia contributors come from a range of backgrounds, and over 25 years there have been thousands of expert writers and editors who have contributed. Gordon Scott has been an active investor and ...
International Monetary Fund

High-Dimensional Covariance Matrix Estimation: Shrinkage Toward a Diagonal Target

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle ...