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Quantitative Finance · Glosarium

Apa itu Linear shrinkage?

Definition 22.5 Quantitative Methods · Bab 22 — Covariance Estimation and Random Matrices

Linear shrinkage replaces SS by δF+(1−δ)S\delta F + (1 - \delta)S for a structured target FF, such as a multiple of the identity or the constant-correlation matrix, with an intensity δ∈[0,1]\delta \in [0, 1] chosen to minimise the expected Frobenius distance to Σ\Sigma.

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