Weighted covariance matrix estimation (Q2002720)

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Language	Label	Description	Also known as
English	Weighted covariance matrix estimation	scientific article

Statements

scholarly article

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Weighted covariance matrix estimation (English)

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Computational Statistics and Data Analysis

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publication date

12 July 2019

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full work available at URL

https://hdl.handle.net/10356/144459

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zbMATH Keywords

thresholding

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shrinkage

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adaptive thresholding

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weighted

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bridge function

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MaRDI profile type

MaRDI publication profile

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Regularized estimation of large covariance matrices

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Covariance regularization by thresholding

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A Constrained<i>ℓ</i><sub>1</sub>Minimization Approach to Sparse Precision Matrix Estimation

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Convergence of the largest eigenvalue of normalized sample covariance matrices when \(p\) and \(n\) both tend to infinity with their ratio converging to zero

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Sparse estimation of high-dimensional correlation matrices

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Operator norm consistent estimation of large-dimensional sparse covariance matrices

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Vast Portfolio Selection With Gross-Exposure Constraints

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Improved Stein-type shrinkage estimators for the high-dimensional multivariate normal covariance matrix

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A well-conditioned estimator for large-dimensional covariance matrices

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Nonlinear shrinkage estimation of large-dimensional covariance matrices

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Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions

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Optimal estimation of a large-dimensional covariance matrix under Stein's loss

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Generalized Thresholding of Large Covariance Matrices

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Lectures on the theory of estimation of many parameters

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Nonparametric Stein-type shrinkage covariance matrix estimators in high-dimensional settings

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Shrinkage estimation of large dimensional precision matrix using random matrix theory

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Positive-Definite ℓ<sub>1</sub>-Penalized Estimation of Large Covariance Matrices

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Model selection and estimation in the matrix normal graphical model

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Identifiers

Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.CSDA.2019.04.017

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Sitelinks

Mathematics(1 entry)

mardi Publication:2002720

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