Error covariance matrix estimation using ridge estimator

DOI10.1016/J.SPL.2012.09.011MaRDI QIDQ1933734zbMATH OpenOpenAlexFDO

Authors June Luo, K. B. Kulasekera

Publication date 25 January 2013

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

Full work available at URL https://doi.org/10.1016/j.spl.2012.09.011

zbMATH Keywords

asymptotic propertyhigh dimensionridge estimationerror covariance matrix

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic properties of nonparametric inference (62G20) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cited in

(7)

• Ridge estimation of covariance matrix from data in two classes.
• High-dimensional covariance matrix estimation in approximate factor models
• Computation of the factorized error covariance of the difference between correlated estimators
• Estimation of error variance via ridge regression
• On the mean squared error of the ridge estimator of the covariance and precision matrix
• Pivotal variable detection of the covariance matrix and its application to high-dimensional factor models
• Regularized covariance matrix estimation in high dimensional approximate factor models

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