A well-conditioned estimator for large-dimensional covariance matrices

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DOI10.1016/s0047-259x(03)00096-4zbMath1032.62050MaRDI QIDQ149569

Olivier Ledoit, Michael Wolf, Michael Wolf, Olivier Ledoit

Publication date: February 2004

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

zbMATH Keywords

Condition number Empirical Bayes Shrinkage Covariance matrix estimation General asymptotics

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Nonparametric estimation (62G05) Empirical decision procedures; empirical Bayes procedures (62C12)

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