Lectures on the theory of estimation of many parameters
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Translation from Zap. Nauchn. Semin. Leningr. Otd. Mat. Inst. Steklova 74, 4-65 (Russian) (1977; Zbl 0421.62036).
Cites work
- Admissible Estimators, Recurrent Diffusions, and Insoluble Boundary Value Problems
- Empirical Bayes on vector observations: An extension of Stein's method
- Estimation with quadratic loss.
- Generalized Bayes Solutions in Estimation Problems
- scientific article; zbMATH DE number 3122730 (Why is no real title available?)
- scientific article; zbMATH DE number 3205757 (Why is no real title available?)
- On Minimax Statistical Decision Procedures and their Admissibility
- On the Translation Parameter Problem for Discrete Variables
- Tail minimaxity in location vector problems and its applications
Cited in
(38)- Numerical implementation of the QuEST function
- Optimal estimation of a large-dimensional covariance matrix under Stein's loss
- Estimation of two high-dimensional covariance matrices and the spectrum of their ratio
- Weighted covariance matrix estimation
- On Charles Stein's contributions to (in)admissibility
- Approximate normality in testing an exchangeable covariance structure under large- and high-dimensional settings
- A unified approach for covariance matrix estimation under Stein loss
- Quadratic shrinkage for large covariance matrices
- Analytical nonlinear shrinkage of large-dimensional covariance matrices
- A Stein's approach to covariance matrix estimation using regularization of Cholesky factor and log-Cholesky metric
- Approximation with a Kronecker product structure with one component as compound symmetry or autoregression via entropy loss function
- Shrinkage estimation of large covariance matrices: keep it simple, statistician?
- Shrinkage priors for single-spiked covariance models
- Statistical paleoclimate reconstructions via Markov random fields
- Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
- Optimal shrinkage of eigenvalues in the spiked covariance model
- Improving on the sample covariance matrix for a complex elliptically contoured distribution
- Scale matrix estimation of an elliptically symmetric distribution in high and low dimensions
- Matrix means and a novel high-dimensional shrinkage phenomenon
- Improved second order estimation in the singular multivariate normal model
- A note on covariance estimation in the unbiased estimator of risk framework
- Nonparametric eigenvalue-regularized precision or covariance matrix estimator
- The role of the isotonizing algorithm in Stein's covariance matrix estimator
- scientific article; zbMATH DE number 2017772 (Why is no real title available?)
- Geodesically parameterized covariance estimation
- Distributionally robust inverse covariance estimation: the Wasserstein shrinkage estimator
- On parameter estimation for high dimensional errors-in-variables models
- A Compound Decision Approach to Covariance Matrix Estimation
- A high-dimensional classification rule using sample covariance matrix equipped with adjusted estimated eigenvalues
- High-dimensional covariance matrix estimation
- Comment: Ridge Regression and Regularization of Large Matrices
- Sparse graphical modelling for global minimum variance portfolio
- Randomized signature methods in optimal portfolio selection
- Optimal eigenvalue shrinkage in the semicircle limit
- Eigenvector overlaps in large sample covariance matrices and nonlinear shrinkage estimators
- Covariance estimation for wide data
- The spectral condition number plot for regularization parameter evaluation
- An orthogonally equivariant estimator of the covariance matrix in high dimensions and for small sample sizes
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