SURE-tuned tapering estimation of large covariance matrices

DOI10.1016/j.csda.2012.09.007zbMath1365.62209OpenAlexW1972500015MaRDI QIDQ2361207

Feng Yi, Hui Zou

Publication date: 30 June 2017

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11299/199692

zbMATH Keywords

covariance matrixcross-validationFrobenius normoperator normsSUREtapering estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to physics (62P35) Geostatistics (86A32) Analysis of variance and covariance (ANOVA) (62J10)

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Uses Software

• UCI-ml

Cites Work

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