An orthogonally equivariant estimator of the covariance matrix in high dimensions and for small sample sizes

DOI10.1016/J.JSPI.2020.10.006zbMath1465.62096arXiv1711.08411OpenAlexW2768781802WikidataQ104101618 ScholiaQ104101618MaRDI QIDQ830703

Samprit Banerjee, Stefano Monni

Publication date: 7 May 2021

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1711.08411

zbMATH Keywords

eigenvalue estimatehigh-dimensional inferencesingular Wishart distributioncovariance matrix estimationadjusted profile likelihood

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Monte Carlo methods (65C05) Eigenvalues, singular values, and eigenvectors (15A18)

Uses Software

• spcov
• QuEST

Cites Work

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