In a previous issue of The American Statistician, Heffernan reexpressed the classical formula for the sample variance as a sum of squared pairwise differences. This result extends to the sample ...

We consider a p-dimensional time series where the dimension p increases with the sample size n. The resulting data matrix X follows a stochastic volatility model: each entry consists of a positive ...

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 ...

Covariance is a statistical measure of how two assets move in relation to each other. It provides diversification and reduces the overall volatility of a portfolio. A positive covariance indicates ...