Understanding Covariance: How It Indicates Relationships Between Variables

Reviewed by JeFreda R. Brown Covariance indicates the relationship between two variables whenever one variable changes. The variables, and thus the covariance, can move hand-in-hand, increasing or ...
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Covariance of Sample Moments for Simple Random Sampling with Replacement of a Finite Population

Mathematical Proceedings of the Royal Irish Academy, Vol. 99A, No. 2 (Dec., 1999), pp. 171-177 (7 pages) In this paper we derive the exact covariance of some sample moments for 'simple random sampling ...
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Large Deviations for Eigenvalues of Sample Covariance Matrices, with Applications to Mobile ...

We study sample covariance matrices of the form $W=(1/n)CC^{\intercal}$, where C is a k × n matrix with independent and identically distributed (i.i.d.) mean 0 ...
International Monetary Fund

High-Dimensional Covariance Matrix Estimation: Shrinkage Toward a Diagonal Target

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle ...