Optimal estimation of a large-dimensional covariance matrix under Stein's loss
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Publication:1750102
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Cited in
(36)- Shrinkage estimation of higher-order Bochner integrals
- An ensemble Kalman filter implementation based on the Ledoit and Wolf covariance matrix estimator
- Nonparametric Stein-type shrinkage covariance matrix estimators in high-dimensional settings
- Estimation of a high-dimensional covariance matrix with the Stein loss
- On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix
- Optimal estimation of a large-dimensional covariance matrix under Stein's loss
- Weighted covariance matrix estimation
- An orthogonally equivariant estimator of the covariance matrix in high dimensions and for small sample sizes
- Low-rank multi-parametric covariance identification
- Efficient computation of limit spectra of sample covariance matrices
- A theoretical study of Stein's covariance estimator
- CORRELATION MATRIX OF EQUI-CORRELATED NORMAL POPULATION: FLUCTUATION OF THE LARGEST EIGENVALUE, SCALING OF THE BULK EIGENVALUES, AND STOCK MARKET
- 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
- A simulation framework for correlated count data of features subsets in high-throughput sequencing or proteomics experiments
- Inadmissibility of non-order-preserving orthogonally invariant estimators of the covariance matrix in the case of Stein's loss
- Design-free estimation of integrated covariance matrices for high-frequency data
- Unbiased estimator for a covariance matrix in a three-step monotone incomplete sample
- A well-conditioned estimator for large-dimensional covariance matrices
- Estimation of normal covariance matrices parametrized by irreducible symmetric cones under Stein's loss
- Unbounded largest eigenvalue of large sample covariance matrices: asymptotics, fluctuations and applications
- Quadratic shrinkage for large covariance matrices
- High dimensional minimum variance portfolio estimation under statistical factor models
- Implied basket correlation dynamics
- On parameter estimation for high dimensional errors-in-variables models
- Estimation of two high-dimensional covariance matrices and the spectrum of their ratio
- Analytical nonlinear shrinkage of large-dimensional covariance matrices
- An efficient ensemble Kalman filter implementation via shrinkage covariance matrix estimation: exploiting prior knowledge
- scientific article; zbMATH DE number 4169892 (Why is no real title available?)
- Shrinkage estimation of large covariance matrices: keep it simple, statistician?
- The role of the isotonizing algorithm in Stein's covariance matrix estimator
- Matrix means and a novel high-dimensional shrinkage phenomenon
- A Stein's approach to covariance matrix estimation using regularization of Cholesky factor and log-Cholesky metric
- Likelihood geometry of correlation models
- Geodesically parameterized covariance estimation
- Random matrix improved covariance estimation for a large class of metrics*
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