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Quantitative Finance · Begrippenlijst

Wat is Eigenvalue clipping?

Definition 22.7 Quantitative Methods · Hoofdstuk 22 — Covariance Estimation and Random Matrices

Eigenvalue clipping (Laloux et al., 1999) keeps the eigenvalues of the sample correlation matrix above the Marchenko–Pastur edge and replaces all the others by their average, which preserves the trace, then restores the sample variances.

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