Dmitry Malioutov

IBM Research

T. J. Watson Research Center

1 New Orchard Road

Armonk, NY 10504-1722

United States

SCHOLARLY PAPERS

1

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40

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0

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Scholarly Papers (1)

1.

Smooth Monotone Covariance for Elliptical Distributions and Applications in Finance

Number of pages: 38 Posted: 11 May 2014
Citizens Financial Group, IBM Research, EDHEC Business School and Texas Tech University
Downloads 40 (460,614)

Abstract:

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Smooth monotone covariance, Regularization, Elliptical distributions