Shrinkage estimation of large dimensional precision matrix using random matrix theory

DOI10.5705/ss.2012.328zbMath1415.62035MaRDI QIDQ2950201

Li Xing Zhu, Guangming Pan, Cheng Wang, Tie Jun Tong

Publication date: 8 October 2015

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.2012.328

zbMATH Keywords

shrinkage estimation; random matrix theory; precision matrix; ridge-type estimator; large dimensional data

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62J07: Ridge regression; shrinkage estimators (Lasso)

60B20: Random matrices (probabilistic aspects)