Nonparametric eigenvalue-regularized precision or covariance matrix estimator (Q292867)
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scientific article; zbMATH DE number 6590304
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| English | Nonparametric eigenvalue-regularized precision or covariance matrix estimator |
scientific article; zbMATH DE number 6590304 |
Statements
Nonparametric eigenvalue-regularized precision or covariance matrix estimator (English)
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9 June 2016
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high dimensional data analysis
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covariance matrix
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Stieltjes transform
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data splitting
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nonlinear shrinkage
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factor model
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0.7789487242698669
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0.7754392623901367
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0.7574241161346436
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0.7570642828941345
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0.7553241848945618
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