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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Bibliographic Details
Main Authors: Fang Sun, Xiaoqing Huang
Format: Article
Language:English
Published: Nature Portfolio 2025-07-01
Series:Scientific Reports
Subjects:
Online Access:https://doi.org/10.1038/s41598-025-08712-w
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