Nonlinear shrinkage estimation of large-dimensional covariance matrices (Q149570): Difference between revisions

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@@ Property / DOI: 10.1214/12-AOS989 / rank @@
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-Michael Wolf
@@ Property / author: Michael Wolf / rank @@
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+SNOPT
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@@ Property / arXiv ID: 1207.5322 / rank @@
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+No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices
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@@ Property / cites work @@
+Regularized estimation of large covariance matrices
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+Q3145535
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+Spectrum estimation for large dimensional covariance matrices using random matrix theory
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+High dimensional covariance matrix estimation using a factor model
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@@ Property / cites work @@
+SNOPT: An SQP Algorithm for Large-Scale Constrained Optimization
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+Empirical Bayes estimation of the multivariate normal covariance matrix
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+Wishart distributions for decomposable covariance graph models
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@@ Property / cites work @@
+Eigenvectors of some large sample covariance matrix ensembles
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@@ Property / cites work @@
+A well-conditioned estimator for large-dimensional covariance matrices
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@@ Property / cites work @@
+Nonlinear shrinkage estimation of large-dimensional covariance matrices
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@@ Property / cites work @@
+DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
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@@ Property / cites work @@
+Finite sample size effect on minimum variance beamformers: optimum diagonal loading factor for large arrays
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@@ Property / cites work @@
+Flexible covariance estimation in graphical Gaussian models
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@@ Property / cites work @@
+Estimation of high-dimensional low-rank matrices
@@ Property / cites work: Estimation of high-dimensional low-rank matrices / rank @@
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+Q4727203
@@ Property / cites work: Q4727203 / rank @@
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+Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
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+Analysis of the limiting spectral distribution of large dimensional random matrices
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+Q3237829
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+Transversals of latin squares and their generalizations
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+Publication:149570