scientific article; zbMATH DE number 6612980

DOI10.16357/J.CNKI.ISSN1000-5862.2015.06.11MaRDI QIDQ2990513zbMATH OpenFDO

Authors Xiaoxue Li, Ruixing Ming

Publication date 10 August 2016

Full work available at URL https://doi.org/10.16357/J.CNKI.ISSN1000-5862.2015.06.11

zbMATH Keywords

high-dimensional covariance matrixshrinkage estimationsparse matrixthresholding estimation

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Analysis of variance and covariance (ANOVA) (62J10)

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(7)

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• Weighted covariance matrix estimation
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• High dimensional semiparametric estimate of latent covariance matrix for matrix-variate
• Unified improvements in estimation of a normal covariance matrix in high and low dimensions

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