Weighted average ensemble for Cholesky-based covariance matrix estimation

• Published in: Statistical theory and related fields Vol. 9; no. 2; pp. 149 - 167
• Main Authors: Kang, Xiaoning, Gao, Zhenguo, Liang, Xi, Deng, Xinwei
• Format: Journal Article
• Language: English
• Published: Taylor & Francis Group 03.04.2025
• Subjects: Ensemble estimate; modified Cholesky decomposition; portfolio strategy; variable ordering

The modified Cholesky decomposition (MCD) is an efficient technique for estimating a covariance matrix. However, it is known that the MCD technique often requires a pre-specified variable ordering in the estimation procedure. In this work, we propose a weighted average ensemble covariance estimation...