Shrinkage estimation of large dimensional precision matrix using random matrix theory
From MaRDI portal
(Redirected from Publication:2950201)
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
(19)- 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
- scientific article; zbMATH DE number 7168259 (Why is no real title available?)
- Reviving pseudo-inverses: asymptotic properties of large dimensional Moore-Penrose and ridge-type inverses with applications
- Different estimators of the spectral matrix: an empirical comparison testing a new shrinkage estimator
- The role of the isotonizing algorithm in Stein's covariance matrix estimator
- On the dimension effect of regularized linear discriminant analysis
- 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
- Higher-order nonlinear shrinkage estimator of large-dimensional precision matrix
- Bandwidth selection for large covariance and precision matrices
- On block Cholesky decomposition for sparse inverse covariance estimation
- Estimation of covariance and precision matrices under scale-invariant quadratic loss in high dimension
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)
