Shrinkage estimation of large dimensional precision matrix using random matrix theory

DOI10.5705/SS.2012.328MaRDI QIDQ2950201zbMATH OpenOpenAlexFDO

Authors Cheng Wang, Guangming Pan, Li-Xing Zhu, Tiejun 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

random matrix theoryprecision matrixridge-type estimatorshrinkage estimationlarge dimensional data

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Random matrices (probabilistic aspects) (60B20)

Recommendations

• Direct shrinkage estimation of large dimensional precision matrix
• Random Matrix Derived Shrinkage of Spectral Precision Matrices
• scientific article; zbMATH DE number 7168259
• Shrinking characteristics of precision matrix estimators
• Shrinkage tuning parameter selection in precision matrices estimation
• Shrinkage-to-Tapering Estimation of Large Covariance Matrices
• Nonlinear shrinkage estimation of large-dimensional covariance matrices
• Large dimensional analysis and optimization of robust shrinkage covariance matrix estimators
• Matrix shrinkage of high-dimensional expectation vectors
• Shrinkage estimation for mean and covariance matrices

Cited in

(16)

• Bandwidth selection for large covariance and precision matrices
• Direct shrinkage estimation of large dimensional precision matrix
• Recent advances in shrinkage-based high-dimensional inference
• Ridge-type linear shrinkage estimation of the mean matrix of a high-dimensional normal distribution
• Weighted covariance matrix estimation
• Precision matrix estimation under the horseshoe-like prior-penalty dual
• The comparison of the estimators of banded toeplitz covariance structure under the high-dimensional multivariate model
• Estimation of covariance and precision matrices under scale-invariant quadratic loss in high dimension
• scientific article; zbMATH DE number 7168259 (Why is no real title available?)
• Different estimators of the spectral matrix: an empirical comparison testing a new shrinkage estimator
• Shrinking characteristics of precision matrix estimators
• On the dimension effect of regularized linear discriminant analysis
• The role of the isotonizing algorithm in Stein's covariance matrix estimator
• Ridge estimation of inverse covariance matrices from high-dimensional data
• Infinite mixtures of infinite factor analysers
• Testing for independence of large dimensional vectors

This page was built for publication: Shrinkage estimation of large dimensional precision matrix using random matrix theory

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2950201)