Application of regularized covariance matrices in logistic regression and portfolio optimization
Abstract Covariance estimation has widespread applications in various fields such as logistic regression and portfolio optimization. However, in high-dimensional or small-sample scenarios, traditional covariance matrix estimation often encounters the problem of non-invertibility, which severely rest...
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| Main Authors: | Fang Sun, Xiaoqing Huang |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Nature Portfolio
2025-07-01
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| Series: | Scientific Reports |
| Subjects: | |
| Online Access: | https://doi.org/10.1038/s41598-025-08712-w |
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