On the mean squared error of the ridge estimator of the covariance and precision matrix (Q511555): Difference between revisions
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Property / cites work: Sparse inverse covariance estimation with the graphical lasso / rank | |||
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Property / cites work: The Risk of James–Stein and Lasso Shrinkage / rank | |||
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Property / cites work: Functions of Matrices / rank | |||
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Property / cites work: All Invariant Moments of the Wishart Distribution / rank | |||
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Property / cites work: Q4768493 / rank | |||
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Property / cites work: Ridge estimation of inverse covariance matrices from high-dimensional data / rank | |||
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Revision as of 10:45, 13 July 2024
scientific article
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English | On the mean squared error of the ridge estimator of the covariance and precision matrix |
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On the mean squared error of the ridge estimator of the covariance and precision matrix (English)
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21 February 2017
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inverse covariance matrix
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multivariate normal
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\(\ell_2\)-penalization
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