On convergence of regularized covariance estimator based on modified Cholesky decomposition

DOI10.1016/J.JMVA.2025.105553MaRDI QIDQ6873005zbMATH OpenFDO

Authors Yuli Liang, Deliang Dai, Shaobo Jin

Publication date 19 January 2026

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

shrinkagesmoothingcovariance matrix estimationmodified Cholesky decomposition

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Multivariate analysis (62Hxx)

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