Shrinkage estimation of large covariance matrices: keep it simple, statistician?
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Cites work
- A well-conditioned estimator for large-dimensional covariance matrices
- An identity for the Wishart distribution with applications
- Analysis of the limiting spectral distribution of large dimensional random matrices
- Analytical nonlinear shrinkage of large-dimensional covariance matrices
- Characteristic vectors of bordered matrices with infinite dimensions
- Eigenvectors of some large sample covariance matrix ensembles
- Estimating the covariance matrix and the generalized variance under a symmetric loss
- Estimation of parameter matrices and eigenvalues in MANOVA and canonical correlation analysis
- Estimation of the inverse covariance matrix: Random mixtures of the inverse Wishart matrix and the identity
- Estimation with quadratic loss.
- scientific article; zbMATH DE number 3122730 (Why is no real title available?)
- scientific article; zbMATH DE number 3945103 (Why is no real title available?)
- scientific article; zbMATH DE number 4032826 (Why is no real title available?)
- Lectures on the theory of estimation of many parameters
- No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices
- Nonlinear shrinkage estimation of large-dimensional covariance matrices
- Numerical implementation of the QuEST function
- On Information and Sufficiency
- On the distribution of the largest eigenvalue in principal components analysis
- Optimal estimation of a large-dimensional covariance matrix under Stein's loss
- Optimal shrinkage of eigenvalues in the spiked covariance model
- Regularized estimation of large covariance matrices
- Spectrum estimation for large dimensional covariance matrices using random matrix theory
- Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
- Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
- The Frechet distance between multivariate normal distributions
Cited in
(25)- Nonlinear shrinkage estimation of large-dimensional covariance matrices
- Comparison of linear shrinkage estimators of a large covariance matrix in normal and non-normal distributions
- Optimal estimation of a large-dimensional covariance matrix under Stein's loss
- Shrinkage for covariance estimation: asymptotics, confidence intervals, bounds and applications in sensor monitoring and finance
- Design-free estimation of integrated covariance matrices for high-frequency data
- Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
- Linear shrinkage estimation of large covariance matrices using factor models
- Large dimensional analysis and optimization of robust shrinkage covariance matrix estimators
- On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix
- Nonlinear shrinkage estimation of large integrated covariance matrices
- Improving the Estimation of Eigenvectors Under Quadratic Loss
- Multiple Anchor Point Shrinkage for the Sample Covariance Matrix
- Bridging factor and sparse models
- Target selection in shrinkage estimation of covariance matrix: a structural similarity approach
- Inference on the eigenvalues of the normalized precision matrix
- Higher-order nonlinear shrinkage estimator of large-dimensional precision matrix
- Block covariance matrix estimation with structured off-diagonal blocks
- On estimation of a partitioned covariance matrix with linearly structured blocks
- Cross validation based transfer learning for cross-sectional non-linear shrinkage: a data-driven approach in portfolio optimization
- Model-based vs. agnostic methods for the prediction of time-varying covariance matrices
- Eigenvector overlaps in large sample covariance matrices and nonlinear shrinkage estimators
- Reviving pseudo-inverses: asymptotic properties of large dimensional Moore-Penrose and ridge-type inverses with applications
- Data envelopment analysis with shrinkage estimators
- Portfolio selection based on the spectral decomposition of the sample covariance matrix: a shrinkage-motivated basis-optimization strategy
- Covariance estimation for wide data
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