refs.bib

@article{markowitz1952,
  author  = {Markowitz, Harry},
  title   = {Portfolio Selection},
  journal = {The Journal of Finance},
  volume  = {7},
  number  = {1},
  pages   = {77--91},
  year    = {1952}
}

@article{patton2011,
  author  = {Patton, Andrew J.},
  title   = {Volatility Forecast Comparison Using Imperfect Volatility Proxies},
  journal = {Journal of Econometrics},
  volume  = {160},
  number  = {1},
  pages   = {246--256},
  year    = {2011}
}

@article{laurent2013,
  author  = {Laurent, S{\'e}bastien and Rombouts, Jeroen V. K. and Violante, Francesco},
  title   = {On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models},
  journal = {Journal of Econometrics},
  volume  = {173},
  number  = {1},
  pages   = {1--10},
  year    = {2013}
}

@article{lopezdeprado2016,
  author  = {L{\'o}pez de Prado, Marcos},
  title   = {Building Diversified Portfolios that Outperform Out of Sample},
  journal = {The Journal of Portfolio Management},
  volume  = {42},
  number  = {4},
  pages   = {59--69},
  year    = {2016}
}

@techreport{antonov2024,
  author      = {Antonov, Alexandre and Lipton, Alexander and L{\'o}pez de Prado, Marcos},
  title       = {Hierarchical Risk Parity: A Closer Look},
  institution = {SSRN},
  number      = {4748151},
  year        = {2024}
}

@article{cotton2024,
  author  = {Cotton, Peter},
  title   = {Schur Complementary Portfolios},
  journal = {arXiv preprint arXiv:2411.05807},
  year    = {2024}
}

@article{besag1975,
  author  = {Besag, Julian},
  title   = {Statistical Analysis of Non-Lattice Data},
  journal = {Journal of the Royal Statistical Society: Series D (The Statistician)},
  volume  = {24},
  number  = {3},
  pages   = {179--195},
  year    = {1975}
}

@article{lindsay1988,
  author  = {Lindsay, Bruce G.},
  title   = {Composite Likelihood Methods},
  journal = {Contemporary Mathematics},
  volume  = {80},
  pages   = {221--239},
  year    = {1988}
}

@article{varin2011,
  author  = {Varin, Cristiano and Reid, Nancy and Firth, David},
  title   = {An Overview of Composite Likelihood Methods},
  journal = {Statistica Sinica},
  volume  = {21},
  number  = {1},
  pages   = {5--42},
  year    = {2011}
}

@article{vecchia1988,
  author  = {Vecchia, Aldo V.},
  title   = {Estimation and Model Identification for Continuous Spatial Processes},
  journal = {Journal of the Royal Statistical Society: Series B},
  volume  = {50},
  number  = {2},
  pages   = {297--312},
  year    = {1988}
}

@article{katzfuss2021,
  author  = {Katzfuss, Matthias and Guinness, Joseph},
  title   = {A General Framework for Vecchia Approximations of Gaussian Processes},
  journal = {Statistical Science},
  volume  = {36},
  number  = {1},
  pages   = {124--141},
  year    = {2021}
}

@article{pan2024,
  author  = {Pan, Qilong and Abdulah, Sameh and Genton, Marc G. and Sun, Ying},
  title   = {Block Vecchia Approximation for Scalable and Efficient Gaussian Process Computations},
  journal = {arXiv preprint arXiv:2410.04477},
  year    = {2024}
}

@book{rue2005,
  author    = {Rue, H{\aa}vard and Held, Leonhard},
  title     = {Gaussian Markov Random Fields: Theory and Applications},
  publisher = {Chapman and Hall/CRC},
  year      = {2005}
}

@article{george1973,
  author  = {George, Alan},
  title   = {Nested Dissection of a Regular Finite Element Mesh},
  journal = {SIAM Journal on Numerical Analysis},
  volume  = {10},
  number  = {2},
  pages   = {345--363},
  year    = {1973}
}

@article{ledoit2004,
  author  = {Ledoit, Olivier and Wolf, Michael},
  title   = {A Well-Conditioned Estimator for Large-Dimensional Covariance Matrices},
  journal = {Journal of Multivariate Analysis},
  volume  = {88},
  number  = {2},
  pages   = {365--411},
  year    = {2004}
}

@article{ledoit2012,
  author  = {Ledoit, Olivier and Wolf, Michael},
  title   = {Nonlinear Shrinkage Estimation of Large-Dimensional Covariance Matrices},
  journal = {The Annals of Statistics},
  volume  = {40},
  number  = {2},
  pages   = {1024--1060},
  year    = {2012}
}

@article{bun2017,
  author  = {Bun, Jo{\"e}l and Bouchaud, Jean-Philippe and Potters, Marc},
  title   = {Cleaning Large Correlation Matrices: Tools from Random Matrix Theory},
  journal = {Physics Reports},
  volume  = {666},
  pages   = {1--109},
  year    = {2017}
}

@inproceedings{james1961,
  author    = {James, W. and Stein, Charles},
  title     = {Estimation with Quadratic Loss},
  booktitle = {Proceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability},
  volume    = {1},
  pages     = {361--379},
  year      = {1961}
}

@article{gneiting2007,
  author  = {Gneiting, Tilmann and Raftery, Adrian E.},
  title   = {Strictly Proper Scoring Rules, Prediction, and Estimation},
  journal = {Journal of the American Statistical Association},
  volume  = {102},
  number  = {477},
  pages   = {359--378},
  year    = {2007}
}

@article{scheuerer2015,
  author  = {Scheuerer, Michael and Hamill, Thomas M.},
  title   = {Variogram-Based Proper Scoring Rules for Probabilistic Forecasts of Multivariate Quantities},
  journal = {Monthly Weather Review},
  volume  = {143},
  number  = {4},
  pages   = {1321--1334},
  year    = {2015}
}

@article{furrer2006,
  author  = {Furrer, Reinhard and Genton, Marc G. and Nychka, Douglas},
  title   = {Covariance Tapering for Interpolation of Large Spatial Datasets},
  journal = {Journal of Computational and Graphical Statistics},
  volume  = {15},
  number  = {3},
  pages   = {502--523},
  year    = {2006}
}

@inproceedings{martens2015,
  author    = {Martens, James and Grosse, Roger},
  title     = {Optimizing Neural Networks with Kronecker-Factored Approximate Curvature},
  booktitle = {Proceedings of the 32nd International Conference on Machine Learning (ICML)},
  pages     = {2408--2417},
  year      = {2015}
}

@article{guinness2018,
  author  = {Guinness, Joseph},
  title   = {Permutation and Grouping Methods for Sharpening Gaussian Process Approximations},
  journal = {Technometrics},
  volume  = {60},
  number  = {4},
  pages   = {415--429},
  year    = {2018}
}

@article{chakraborty2025,
  author  = {Chakraborty, Anirban and Katzfuss, Matthias},
  title   = {Learning Non-Gaussian Spatial Distributions via Bayesian Transport Maps with Parametric Shrinkage},
  journal = {arXiv preprint arXiv:2409.19208},
  year    = {2025}
}

@article{katzfuss2024,
  author  = {Katzfuss, Matthias and Sch\"afer, Florian},
  title   = {Scalable Bayesian Transport Maps for High-Dimensional Non-Gaussian Spatial Fields},
  journal = {Journal of the American Statistical Association},
  volume  = {119},
  number  = {546},
  pages   = {1409--1423},
  year    = {2024}
}

@misc{cotton2025psl,
  author = {Cotton, Peter},
  title  = {Schur Pseudo-Likelihood: Scoring and Regularizing Correlation in High Dimensions},
  year   = {2025},
  note   = {Note, \texttt{microprediction/precise}}
}