Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss (Q1036786)
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scientific article; zbMATH DE number 5632786
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| English | Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss |
scientific article; zbMATH DE number 5632786 |
Statements
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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0.9419285
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0.9320358
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0.92794955
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0.9245943
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0.9202404
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0.91619205
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0.9151275
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0.91119635
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