A Stein's approach to covariance matrix estimation using regularization of Cholesky factor and log-Cholesky metric

DOI10.1016/J.SPL.2020.108893zbMath1456.62152OpenAlexW3045631465MaRDI QIDQ2216965

Xavier Gendre, François Vincent, Olivier Besson

Publication date: 18 December 2020

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2020.108893

zbMATH Keywords

regularizationcovariance matrix estimationCholesky factorSteins's estimation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Analysis of variance and covariance (ANOVA) (62J10)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A well-conditioned estimator for large-dimensional covariance matrices
• Estimation of a high-dimensional covariance matrix with the Stein loss
• A new estimator of covariance matrix
• Unified improvements in estimation of a normal covariance matrix in high and low dimensions
• Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss
• Estimation of a covariance matrix under Stein's loss
• Trimmed minimax estimator of a covariance matrix
• Lectures on the theory of estimation of many parameters
• Best equivariant estimators of a Cholesky decomposition
• An identity for the Wishart distribution with applications
• Empirical Bayes estimation of the multivariate normal covariance matrix
• Inadmissibility of non-order-preserving orthogonally invariant estimators of the covariance matrix in the case of Stein's loss
• Breakthroughs in statistics. Volume I: Foundations and basic theory
• Minimax estimators of a covariance matrix
• Comparison of linear shrinkage estimators of a large covariance matrix in normal and non-normal distributions
• Optimal estimation of a large-dimensional covariance matrix under Stein's loss
• Shrinkage Algorithms for MMSE Covariance Estimation
• UNBIASED ESTIMATOR OF RISK FOR AN ORTHOGONALLY INVARIANT ESTIMATOR OF A COVARIANCE MATRIX
• Riemannian Geometry of Symmetric Positive Definite Matrices via Cholesky Decomposition
• High‐Dimensional Covariance Estimation

This page was built for publication: A Stein's approach to covariance matrix estimation using regularization of Cholesky factor and log-Cholesky metric