Nonparametric eigenvalue-regularized precision or covariance matrix estimator
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Publication:292867
DOI10.1214/15-AOS1393zbMATH Open1341.62124OpenAlexW2248165318MaRDI QIDQ292867FDOQ292867
Authors: Clifford Lam 
Publication date: 9 June 2016
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aos/1460381682
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Stieltjes transformfactor modelcovariance matrixdata splittingnonlinear shrinkagehigh dimensional data analysis
Asymptotic properties of nonparametric inference (62G20) Estimation in multivariate analysis (62H12) Random matrices (algebraic aspects) (15B52)
Cites Work
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- Factor modeling for high-dimensional time series: inference for the number of factors
- Covariance regularization by thresholding
- Spectral analysis of large dimensional random matrices
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- A well-conditioned estimator for large-dimensional covariance matrices
- Nonlinear shrinkage estimation of large-dimensional covariance matrices
- Sparse inverse covariance estimation with the graphical lasso
- Regularized estimation of large covariance matrices
- Estimation of latent factors for high-dimensional time series
- A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
- DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
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- Estimation with quadratic loss.
- Cholesky Decompositions and Estimation of A Covariance Matrix: Orthogonality of Variance Correlation Parameters
- Generalized thresholding of large covariance matrices
- Eigenvectors of some large sample covariance matrix ensembles
- Optimal rates of convergence for sparse covariance matrix estimation
- Limit of the smallest eigenvalue of a large dimensional sample covariance matrix
- Covariance matrix selection and estimation via penalised normal likelihood
- Lectures on the theory of estimation of many parameters
- Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
- Design-free estimation of variance matrices
- Nonparametric eigenvalue-regularized precision or covariance matrix estimator
- High-dimensional covariance matrix estimation in approximate factor models
Cited In (23)
- High-dimensional covariance matrix estimation
- Nonparametric eigenvalue-regularized precision or covariance matrix estimator
- Analytical nonlinear shrinkage of large-dimensional covariance matrices
- A Compound Decision Approach to Covariance Matrix Estimation
- Generalized estimating equations with stabilized working correlation structure
- Sparse online principal component analysis for parameter estimation in factor model
- High dimensional discriminant rules with shrinkage estimators of the covariance matrix and mean vector
- A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION
- Randomized time Riemannian manifold Hamiltonian Monte Carlo
- A Synthetic Regression Model for Large Portfolio Allocation
- NOVELIST estimator of large correlation and covariance matrices and their inverses
- Power-law partial correlation network models
- A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
- Estimating large‐dimensional connectedness tables: The great moderation through the lens of sectoral spillovers
- Matrix means and a novel high-dimensional shrinkage phenomenon
- High-dimensional linear discriminant analysis using nonparametric methods
- Tackling Small Eigen-Gaps: Fine-Grained Eigenvector Estimation and Inference Under Heteroscedastic Noise
- Consistent estimation of high-dimensional factor models when the factor number is over-estimated
- A large covariance matrix estimator under intermediate spikiness regimes
- Design-free estimation of integrated covariance matrices for high-frequency data
- Quadratic shrinkage for large covariance matrices
- Most powerful test against a sequence of high dimensional local alternatives
- Numerical implementation of the QuEST function
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