Linear shrinkage replaces by for a structured target , such as a multiple of the identity or the constant-correlation matrix, with an intensity chosen to minimise the expected Frobenius distance to .
Quantitative Finance · Glossaire
Quantitative Finance · Glossaire
Linear shrinkage replaces by for a structured target , such as a multiple of the identity or the constant-correlation matrix, with an intensity chosen to minimise the expected Frobenius distance to .