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Holdout cross-validation for large non-Gaussian covariance matrix estimation using Weingarten calculus

Fuente: arXiv

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Bibliographic Details
Main Authors:	Lamrani, Lamia, Collins, Benoît, Bouchaud, Jean-Philippe
Format:	Preprint
Published:	2025
Subjects:	Statistical Finance Statistics Theory Risk Management Machine Learning
Online Access:	Acceder al recurso
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