where nused is the number of non-missing observations and np is the number of estimable parameters. The standard error reported for the parameters is the sqrt of the ...

Alexandre Antonov, Alexander Lipton and Marcos Lopez de Prado compare and contrast two portfolio allocation methods: the classical Markowitz approach and the hierarchical risk parity (HRP) approach.

This is the GEE equivalent of the inverse of the Fisher information matrix that is often used in generalized linear models as an estimator of the covariance estimate of the maximum likelihood ...