On the mean squared error of the ridge estimator of the covariance and precision matrix (Q511555): Difference between revisions
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 62J07 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 62H12 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6687630 / rank | |||
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| Property / zbMATH Keywords | |||
inverse covariance matrix | |||
| Property / zbMATH Keywords: inverse covariance matrix / rank | |||
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multivariate normal | |||
| Property / zbMATH Keywords: multivariate normal / rank | |||
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\(\ell_2\)-penalization | |||
| Property / zbMATH Keywords: \(\ell_2\)-penalization / rank | |||
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Revision as of 02:56, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the mean squared error of the ridge estimator of the covariance and precision matrix |
scientific article |
Statements
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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