A well-conditioned estimator for large-dimensional covariance matrices (Q149569)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 2037159
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A well-conditioned estimator for large-dimensional covariance matrices |
scientific article; zbMATH DE number 2037159 |
Statements
88
0 references
2
0 references
365-411
0 references
February 2004
0 references
3 February 2004
0 references
A well-conditioned estimator for large-dimensional covariance matrices (English)
0 references
Condition number
0 references
Covariance matrix estimation
0 references
Empirical Bayes
0 references
General asymptotics
0 references
Shrinkage
0 references
0 references
0 references
0 references
0.8755969405174255
0 references
0.8568416833877563
0 references
0.8314385414123535
0 references
0.8269251585006714
0 references
0.816768229007721
0 references
Olivier Ledoit
0 references
Michael Wolf
0 references
