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 · Glossário
Quantitative Finance · Glossário
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 .