Learn how covariance is used to reduce risk in modern portfolio theory, how covariance is calculated and how it is used to provide portfolio diversification.

The covariance calculation shows how two stocks move together, which is helpful when building a diversified investment portfolio. Learn how this calculation is used.

The estimated covariance matrix of the parameter estimates is computed as the inverse Hessian matrix, and for unconstrained problems it should be positive definite. If the final parameter estimates ...

An account from first principles is given of a number of aspects of analysis of covariance. Six different meanings of analysis of covariance are outlined and the history of this technique is sketched ...

This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle Approximating Shrinkage (OAS) of Chen et al. (2009) to target the diagonal elements of ...