The role of the isotonizing algorithm in Stein's covariance matrix estimator

DOI10.1007/S00180-016-0672-4zbMATH Open1348.65035OpenAlexW2476215197WikidataQ115149149 ScholiaQ115149149MaRDI QIDQ333380FDOQ333380

Authors: Brett Naul, Bala Rajaratnam, Dario Vincenzi 

Publication date: 28 October 2016

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-016-0672-4

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zbMATH Keywords

shrinkagecovariance matrix estimationeigenvaluesisotonized estimatorrisksSteinian estimation

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12)

Cites Work

• A well-conditioned estimator for large-dimensional covariance matrices
• On the distribution of the largest eigenvalue in principal components analysis
• Condition-Number-Regularized Covariance Estimation
• Spectrum estimation for large dimensional covariance matrices using random matrix theory
• Estimation of a covariance matrix using the reference prior
• Wishart distributions for decomposable covariance graph models
• Flexible covariance estimation in graphical Gaussian models
• Covariance estimation: the GLM and regularization perspectives
• Lectures on the theory of estimation of many parameters
• Shrinkage estimation of large dimensional precision matrix using random matrix theory
• Title not available (Why is that?)
• Improved Stein-type shrinkage estimators for the high-dimensional multivariate normal covariance matrix
• Shrinkage Estimators for Covariance Matrices
• A theoretical study of Stein's covariance estimator
• Optimal estimation of a large-dimensional covariance matrix under Stein's loss
• Nonparametric Stein-type shrinkage covariance matrix estimators in high-dimensional settings
• Estimating covariance matrices
• Estimation of the population spectral distribution from a large dimensional sample covariance matrix

Cited In (1)

• Some Statistical Problems with High Dimensional Financial data

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