Covariance matrix estimation under data-based loss

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

zbMATH Keywords

high-dimensional statisticselliptically symmetric distributionsorthogonally invariant estimatorsdata-based lossStein-Haff type-identities

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Point estimation (62F10) Statistical decision theory (62C99)

Related Items (1)

A unified approach for covariance matrix estimation under Stein loss

Cites Work

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