Covariance matrix estimation under data-based loss
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Publication:2244574
DOI10.1016/j.spl.2021.109160zbMath1473.62179arXiv2012.11920OpenAlexW3165435538MaRDI QIDQ2244574
Anis M. Haddouche, Fatiha Mezoued, Dominique Fourdrinier
Publication date: 12 November 2021
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2012.11920
high-dimensional statisticselliptically symmetric distributionsorthogonally invariant estimatorsdata-based lossStein-Haff type-identities
Estimation in multivariate analysis (62H12) Point estimation (62F10) Statistical decision theory (62C99)
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Cites Work
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