Graphical models provide a robust framework for representing the conditional independence structure between variables through networks, enabling nuanced insight into complex high-dimensional data.

The estimation of portfolio value-at-risk (VaR) requires a good estimate of the covariance matrix. As it is well known that a sample covariance matrix based on some historical rolling window is noisy ...

Each estimation method is based on finding parameter estimates that minimize a badness-of-fit function that measures the difference between the observed sample covariance matrix and the predicted ...

Harry Markowitz famously quipped that diversification is the only free lunch in investing. What he did not say is that this is only true if correlations are known and stable over time. Markowitz’s ...

This section contains a collection of formulas used in computing indices to assess the goodness of fit by PROC CALIS. The following notation is used: For estimation methods that are not BGLS ...