Shrinkage estimation for mean and covariance matrices
From MaRDI portal
Publication:2182017
Recommendations
- Shrinkage estimation
- High-dimensional covariance estimation
- High-dimensional covariance matrix estimation. An introduction to random matrix theory
- Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss
- On shrinkage estimators in matrix variate elliptical models
Cited in
(26)- scientific article; zbMATH DE number 4211293 (Why is no real title available?)
- Shrinkage estimator in normal mean vector estimation based on conditional maximum likelihood estimators
- Weighted shrinkage estimators of normal mean matrices and dominance properties
- Multiplicative Errors-in-Variables Models with Applications to Recent Data Released by the U.S. Department of Energy
- Matrix quadratic risk of orthogonally invariant estimators for a normal mean matrix
- Stein's identities and the related topics: an instructive explanation on shrinkage, characterization, normal approximation and goodness-of-fit
- Shrinkage Algorithms for MMSE Covariance Estimation
- Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss
- Analytical nonlinear shrinkage of large-dimensional covariance matrices
- Matrix shrinkage of high-dimensional expectation vectors
- Shrinkage estimation
- Post-shrinkage strategies in statistical and machine learning for high dimensional data
- Covariance matrix estimation under data-based loss
- Different estimators of the spectral matrix: an empirical comparison testing a new shrinkage estimator
- Aspects of statistical learning in complex systems.
- A unified approach to estimating a normal mean matrix in high and low dimensions
- Generalized Bayes estimators with closed forms for the normal mean and covariance matrices
- Shrinkage estimation of non-negative mean vector with unknown covariance under balance loss
- Recent advances in shrinkage-based high-dimensional inference
- Shrinkage estimation of large dimensional precision matrix using random matrix theory
- A note on improving on a vector of coordinate-wise estimators of non-negative means via shrinkage
- Truncated Estimators for a Precision Matrix
- Optimal shrinkage of eigenvalues in the spiked covariance model
- Shrinkage Estimators for Covariance Matrices
- Shrinkage estimation of large covariance matrices: keep it simple, statistician?
- Linear shrinkage estimation of the variance of a distribution with unknown mean
This page was built for publication: Shrinkage estimation for mean and covariance matrices
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2182017)
