On the mean squared error of the ridge estimator of the covariance and precision matrix (Q511555)
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scientific article; zbMATH DE number 6687630
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| English | On the mean squared error of the ridge estimator of the covariance and precision matrix |
scientific article; zbMATH DE number 6687630 |
Statements
On the mean squared error of the ridge estimator of the covariance and precision matrix (English)
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21 February 2017
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inverse covariance matrix
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multivariate normal
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\(\ell_2\)-penalization
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0.9421345
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0.90655017
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0.9035262
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0.8952831
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