Shrinkage estimation of large dimensional precision matrix using random matrix theory

DOI10.5705/SS.2012.328zbMATH Open1415.62035OpenAlexW2333974280MaRDI QIDQ2950201FDOQ2950201

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

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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)

Cited In (16)

• Testing for independence of large dimensional vectors
• Ridge estimation of inverse covariance matrices from high-dimensional data
• Direct shrinkage estimation of large dimensional precision matrix
• Ridge-type linear shrinkage estimation of the mean matrix of a high-dimensional normal distribution
• Weighted covariance matrix estimation
• Infinite mixtures of infinite factor analysers
• Title not available (Why is that?)
• Different estimators of the spectral matrix: an empirical comparison testing a new shrinkage estimator
• On the dimension effect of regularized linear discriminant analysis
• The role of the isotonizing algorithm in Stein's covariance matrix estimator
• The comparison of the estimators of banded toeplitz covariance structure under the high-dimensional multivariate model
• Precision matrix estimation under the horseshoe-like prior-penalty dual
• Recent advances in shrinkage-based high-dimensional inference
• Shrinking characteristics of precision matrix estimators
• Bandwidth selection for large covariance and precision matrices
• Estimation of covariance and precision matrices under scale-invariant quadratic loss in high dimension

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