A large covariance matrix estimator under intermediate spikiness regimes (Q2293542)
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scientific article; zbMATH DE number 7163061
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A large covariance matrix estimator under intermediate spikiness regimes |
scientific article; zbMATH DE number 7163061 |
Statements
A large covariance matrix estimator under intermediate spikiness regimes (English)
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5 February 2020
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covariance matrix
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nuclear norm
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penalized least squares
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sparsity
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spiked eigenvalues
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un-shrinkage
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0.8197532296180725
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0.7967042922973633
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0.7956533432006836
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0.7882411479949951
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