Optimal Estimation of a Large-Dimensional Covariance Matrix Under Stein’s Loss

Bernoulli - United Kingdom
doi 10.3150/17-bej979
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Bernoulli Society for Mathematical Statistics and Probability

Related search

Sparse Estimation of a Covariance Matrix

Biometrika
StatisticsProbabilityUncertaintyApplied MathematicsBiological SciencesAgriculturalMathematics
2011English

An Empirical Bayesian Approach to Stein-Optimal Covariance Matrix Estimation

Journal of Empirical Finance
EconomicsFinanceEconometrics
2014English

A Homogeneity Test of Large Dimensional Covariance Matrices Under Non-Normality

Kybernetika
ControlSystems EngineeringInformation SystemsElectronic EngineeringElectricalTheoretical Computer ScienceArtificial IntelligenceSoftware
2018English

A Practitioner's Guide to Robust Covariance Matrix Estimation

1996English

Robust Rank Constrained Kronecker Covariance Matrix Estimation

2016English

Stable Estimation of a Covariance Matrix Guided by Nuclear Norm Penalties

Computational Statistics and Data Analysis
StatisticsProbabilityApplied MathematicsComputational TheoryComputational MathematicsMathematics
2014English

Large Covariance Estimation by Thresholding Principal Orthogonal Complements

SSRN Electronic Journal
2011English

A Blocking and Regularization Approach to High-Dimensional Realized Covariance Estimation

Journal of Applied Econometrics
EconomicsEconometricsSocial Sciences
2010English

Shrinkage Estimation of Large Covariance Matrices: Keep It Simple, Statistician?

SSRN Electronic Journal
2019English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy