Matrix shrinkage of high-dimensional expectation vectors

DOI10.1016/J.JMVA.2003.11.003MaRDI QIDQ1765615zbMATH OpenOpenAlexFDO

Authors V. I. Serdobol'skij

Publication date 23 February 2005

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

Full work available at URL https://doi.org/10.1016/j.jmva.2003.11.003

zbMATH Keywords

Shrinkage estimatorsExpectation vectors estimatorsLarge dimensionsMatrix shrinkage

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Statistical decision theory (62C99)

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Cites work

• scientific article; zbMATH DE number 3122730 (Why is no real title available?)
• scientific article; zbMATH DE number 919369 (Why is no real title available?)
• A sequence of improvements over the James-Stein estimator
• Application aspects of G-analysis
• Asymptotically Dominating Estimation of Expectation Value Vectors
• Estimation of solutions of random sets of simultaneous linear algebraic equations of high order
• Estimation with quadratic loss.
• Stein estimation -- a review

Cited in

(8)

• Relaxing the Gaussian assumption in shrinkage and SURE in high dimension
• Rigorous high-dimensional shadowing using containment: the general case
• Optimal shrinkage estimator for high-dimensional mean vector
• Sharp Oracle Inequalities for High-Dimensional Matrix Prediction
• Asymptotics for high-dimensional covariance matrices and quadratic forms with applications to the trace functional and shrinkage
• Shrinkage estimation of large dimensional precision matrix using random matrix theory
• Asymptotically Dominating Estimation of Expectation Value Vectors
• Shrinkage function and its applications in matrix approximation

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