Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss (Q1036786)

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Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss
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    Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss (English)
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    13 November 2009
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    unbiased estimate of risk
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    integration by parts formula
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    singular Wishart distributions
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    Stein-Haff identity
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    calculus on eigenstructures
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