This article introduces covariance regression analysis for a p -dimensional response vector. The proposed method explores the regression relationship between the p -dimensional covariance
This article investigates the large sample properties of the variance, weights, and risk of high-dimensional portfolios where the inverse of the covariance matrix of excess asset returns is estimated
Given data in ℝp, a Tukey κ -trimmed region is the set of all points that have at least Tukey depth κ w.r.t. the data. As they are visual, affine equivariant and robust, Tukey regions are
The data and R code needed to conduct the analyses presented in: Hamm, CA 2010. Multivariate discrimination and description of a new species of Tapinoma from the western United States. Annals of t
