Multi-Target Shrinkage Estimation for Covariance Matrices

DOI10.1109/TSP.2014.2364784MaRDI QIDQ4579623zbMATH OpenOpenAlexFDO

Authors Tomer Lancewicki, Mayer E. Aladjem

Publication date 22 August 2018

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tsp.2014.2364784

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited in

(4)

• Simplicial and minimal-variance distances in multivariate data analysis
• Shrinkage Algorithms for MMSE Covariance Estimation
• MEWMA charts when parameters are estimated with applications in gene expression and bimetal thermostat monitoring
• Target selection in shrinkage estimation of covariance matrix: a structural similarity approach

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