Optimal estimation of a large-dimensional covariance matrix under Stein's loss
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Publication:1750102
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Cited in
(38)- An orthogonally equivariant estimator of the covariance matrix in high dimensions and for small sample sizes
- A Stein's approach to covariance matrix estimation using regularization of Cholesky factor and log-Cholesky metric
- On parameter estimation for high dimensional errors-in-variables models
- Estimation of a high-dimensional covariance matrix with the Stein loss
- Weighted covariance matrix estimation
- Low-rank multi-parametric covariance identification
- Random matrix improved covariance estimation for a large class of metrics*
- Eigenvector overlaps in large sample covariance matrices and nonlinear shrinkage estimators
- A theoretical study of Stein's covariance estimator
- Efficient computation of limit spectra of sample covariance matrices
- High dimensional minimum variance portfolio estimation under statistical factor models
- Shrinkage estimation of higher-order Bochner integrals
- Estimation of normal covariance matrices parametrized by irreducible symmetric cones under Stein's loss
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- Optimal estimation of a large-dimensional covariance matrix under Stein's loss
- CORRELATION MATRIX OF EQUI-CORRELATED NORMAL POPULATION: FLUCTUATION OF THE LARGEST EIGENVALUE, SCALING OF THE BULK EIGENVALUES, AND STOCK MARKET
- A well-conditioned estimator for large-dimensional covariance matrices
- On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix
- Nonparametric Stein-type shrinkage covariance matrix estimators in high-dimensional settings
- Regularized fingerprinting in detection and attribution of climate change with weight matrix optimizing the efficiency in scaling factor estimation
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- Quadratic shrinkage for large covariance matrices
- Shrinkage estimation of large covariance matrices: keep it simple, statistician?
- Ledoit-Wolf linear shrinkage with unknown mean
- A simulation framework for correlated count data of features subsets in high-throughput sequencing or proteomics experiments
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