Covariance Matrix Estimation for Interest-Rate Risk Modeling via Smooth and Monotone Regularization

Dmitry M. Malioutov, Aycan A. Corum, Müjdat Çetin. Covariance Matrix Estimation for Interest-Rate Risk Modeling via Smooth and Monotone Regularization. J. Sel. Topics Signal Processing, 10(6):1006-1014, 2016. [doi]

Abstract

Abstract is missing.