Improved estimation of the covariance matrix of stock returns with an application to portfolio selection

Ledoit, Olivier; Wolf, Michael

doi:10.1016/s0927-5398(03)00007-0

Cited by 1,378 publications

(1,154 citation statements)

References 26 publications

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“…This representational distance metric was normalized using the sparse covariance matrix (Ledoit & Wolf, 2003) of the noise residuals to produce a weights vector. Next, we calculated the LDC test statistic by taking the dot product between the weights vector and the contrast estimate from the test sub run.…”

Section: Methodsmentioning

confidence: 99%

Prospective motion correction improves the sensitivity of fMRI pattern decoding

Huang

Carlin

Alink

et al. 2018

Human Brain Mapping

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We evaluated the effectiveness of prospective motion correction (PMC) on a simple visual task when no deliberate subject motion was present. The PMC system utilizes an in‐bore optical camera to track an external marker attached to the participant via a custom‐molded mouthpiece. The study was conducted at two resolutions (1.5 mm vs 3 mm) and under three conditions (PMC On and Mouthpiece On vs PMC Off and Mouthpiece On vs PMC Off and Mouthpiece Off). Multiple data analysis methods were conducted, including univariate and multivariate approaches, and we demonstrated that the benefit of PMC is most apparent for multi‐voxel pattern decoding at higher resolutions. Additional testing on two participants showed that our inexpensive, commercially available mouthpiece solution produced comparable results to a dentist‐molded mouthpiece. Our results showed that PMC is increasingly important at higher resolutions for analyses that require accurate voxel registration across time.

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Section: Methodsmentioning

confidence: 99%

Prospective motion correction improves the sensitivity of fMRI pattern decoding

Huang

Carlin

Alink

et al. 2018

Human Brain Mapping

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“…Rounding might affect the correlation structure. Therefore, we evaluate the use of shrinkage estimators that have already been used in the context of microarray experiments [SS05,LW03]. With our approach it is not possible to generate correlated data for the features of a whole experiment, however, our approach turned out to be useful for the simulation of counts for defined subsets of features like individual pathways or GO categories.…”

Section: Poster 14mentioning

confidence: 99%

Poster abstracts of GCB 2015

Eisenacher

Rahnenführer

Mosig

et al. 2015

Preprint

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EDITORIALThe poster session is and always has been an important part of the German Conference on Bioinformatics, as it gives an excellent overview of current bioinformatics research topics in Germany and other countries. At GCB 2015, there will be 57 posters on display, whose abstracts (together with the poster number) are collected in the present document. Poster prizes will be presented to the presenting author(s) of the best posters, as selected by the program committee. PrePrintsMining for common reactivity patterns of human autoantibodies against endogenous protein targets using clustered autoantibody reactivities Hans-Dieter Zucht, Daniel Chamrad, Anna Telaar, Martin Gamer, Stefan Vordenbäumen, Peter Schulz-Knappe, Matthias Schneider and Petra

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“…These include Chan, Korceski and Lakonishok (1999), Engle and Sheppard (2003), Jagnanathan and Ma (2003), and Wolf (2003 and2004). Chan, Korceski and Lakonishok (1999) examine forecasts of both correlation coefficients and covariances.…”

Section: Literature Reviewmentioning

confidence: 99%