Covariance Estimation for Wide Data [Eran Raviv] (opens in new tab)

My work on covariance estimation has recently been published as an Advanced Review in WIREs Computational Statistics, a highly regarded, peer-reviewed journal in the field. It feels remarkably rewarding to see a decade of my curiosity finally bound together in one place. The writing process started about 4.5 years ago on evenings, weekends, and holidays as a side-project. But I actually wrote my first post about multivariate volatility forecasting well over a decade ago, which turned out to b...