Optimal estimation of a large-dimensional covariance matrix under Stein's loss
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Publication:1750102
DOI10.3150/17-BEJ979zbMATH Open1415.62032OpenAlexW3123766383MaRDI QIDQ1750102FDOQ1750102
Authors: Olivier Ledoit, Michael Wolf 
Publication date: 18 May 2018
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.bj/1524038770
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large-dimensional asymptoticsrandom matrix theoryStein's lossrotation equivariancenonlinear shrinkage estimation
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Cited In (32)
- A Stein's approach to covariance matrix estimation using regularization of Cholesky factor and log-Cholesky metric
- An orthogonally equivariant estimator of the covariance matrix in high dimensions and for small sample sizes
- Likelihood Geometry of Correlation Models
- Weighted covariance matrix estimation
- Low-rank multi-parametric covariance identification
- Random matrix improved covariance estimation for a large class of metrics*
- Shrinkage estimation of higher-order Bochner integrals
- Efficient computation of limit spectra of sample covariance matrices
- High dimensional minimum variance portfolio estimation under statistical factor models
- Estimation of normal covariance matrices parametrized by irreducible symmetric cones under Stein's loss
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- Implied basket correlation dynamics
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- On Parameter Estimation for High Dimensional Errors-in-Variables Models
- 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
- Regularized fingerprinting in detection and attribution of climate change with weight matrix optimizing the efficiency in scaling factor estimation
- A test for Kronecker product structure covariance matrix
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- Geodesically Parameterized Covariance Estimation
- A simulation framework for correlated count data of features subsets in high-throughput sequencing or proteomics experiments
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