Is this real life? Is this just fantasy? A growing number of scientists are suggesting that the idea that we are all living in a simulation may not be completely far-fetched.

The variance-covariance method for the value at risk calculates the standard deviation of price movements of an investment or security.

A new formula for converting a covariance matrix estimated in local currencies into a covariance matrix expressed in a common currency is proposed. This process uses simple matrix multiplications. We ...

If the source matrix is a covariance matrix, then using Cholesky decomposition is more efficient. The implementation of SVD-Jacobi matrix inverse presented in this article emphasizes simplicity and ...

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 ...

A covariance matrix is a powerful statistical tool that provides insights into the relationships between different variables in a dataset. It indicates the extent to which two or more random variables ...