Optimal Shrinkage Covariance Matrix Estimation Under Random Sampling From Elliptical Distributions
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Publication:5238814
DOI10.1109/TSP.2019.2908144zbMath1458.94114arXiv1808.10188WikidataQ128145684 ScholiaQ128145684MaRDI QIDQ5238814
Publication date: 28 October 2019
Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1808.10188
62H12: Estimation in multivariate analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
94A12: Signal theory (characterization, reconstruction, filtering, etc.)