Comparison of linear shrinkage estimators of a large covariance matrix in normal and non-normal distributions (Q1659485)
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 6918605
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Comparison of linear shrinkage estimators of a large covariance matrix in normal and non-normal distributions |
scientific article; zbMATH DE number 6918605 |
Statements
Comparison of linear shrinkage estimators of a large covariance matrix in normal and non-normal distributions (English)
0 references
15 August 2018
0 references
covariance matrix
0 references
double shrinkage
0 references
high dimension
0 references
large sample
0 references
non-normal distribution
0 references
normal distribution
0 references
linear shrinkage estimator
0 references
risk function
0 references
shrinkage
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.8644606471061707
0 references
0.8488420844078064
0 references
0.8471252918243408
0 references
0.8445100784301758
0 references
