Error covariance matrix estimation using ridge estimator
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Publication:1933734
DOI10.1016/j.spl.2012.09.011zbMath1489.62215OpenAlexW2041063519MaRDI QIDQ1933734
Publication date: 25 January 2013
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2012.09.011
Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic properties of nonparametric inference (62G20)