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

@@ Property / publication date @@
+August 2012Timestamp +2012-08-29T00:00:00Z
Timezone +00:00
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++2012-08-29T00:00:00Z
-Timezone
++00:00
-Calendar
+Gregorian
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@@ Property / publication date: 29 August 2012 / rank @@
+Normal rank
@@ Property / author @@
+Olivier Ledoit
@@ Property / author: Olivier Ledoit / rank @@
+Normal rank
@@ Property / author @@
+Michael Wolf
@@ Property / author: Michael Wolf / rank @@
+Normal rank
@@ Property / title @@
+Nonlinear shrinkage estimation of large-dimensional covariance matrices (English)
+Normal rank
@@ Property / zbMATH Open document ID @@
+.62371
@@ Property / zbMATH Open document ID: 1274.62371 / rank @@
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@@ Property / full work available at URL @@
+https://arxiv.org/abs/1207.5322
@@ Property / full work available at URL: https://arxiv.org/abs/1207.5322 / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://projecteuclid.org/euclid.aos/1342625460
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@@ Property / Mathematics Subject Classification ID @@
+H12
@@ Property / Mathematics Subject Classification ID: 62H12 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 62G20 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+B20
@@ Property / Mathematics Subject Classification ID: 60B20 / rank @@
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@@ Property / zbMATH DE Number @@
+6073784
@@ Property / zbMATH DE Number: 6073784 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+large-dimensional asymptotics
@@ Property / zbMATH Keywords: large-dimensional asymptotics / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+nonlinear shrinkage
@@ Property / zbMATH Keywords: nonlinear shrinkage / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+rotation equivariance
@@ Property / zbMATH Keywords: rotation equivariance / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+SNOPT
@@ Property / describes a project that uses: SNOPT / rank @@
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+.5322
@@ Property / arXiv ID: 1207.5322 / rank @@
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@@ Property / cites work @@
+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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@@ Property / cites work @@
+Q3145535
@@ Property / cites work: Q3145535 / rank @@
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@@ Property / cites work @@
+Spectrum estimation for large dimensional covariance matrices using random matrix theory
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@@ Property / cites work @@
+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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@@ Property / cites work @@
+Empirical Bayes estimation of the multivariate normal covariance matrix
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@@ Property / cites work @@
+Q3185327
@@ Property / cites work: Q3185327 / rank @@
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@@ Property / cites work @@
+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
+Normal rank
@@ 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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@@ Property / cites work @@
+Q4727203
@@ Property / cites work: Q4727203 / rank @@
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@@ Property / cites work @@
+Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
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@@ Property / cites work @@
+Analysis of the limiting spectral distribution of large dimensional random matrices
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+Q3237829
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@@ Property / cites work @@
+Transversals of latin squares and their generalizations
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@@ links / mardi / name / links / mardi / name @@
+Publication:149570