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

DOI10.1007/S00180-016-0672-4MaRDI QIDQ333380zbMATH OpenOpenAlexWikidataFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3655182 (Why is no real title available?)
• A theoretical study of Stein's covariance estimator
• A well-conditioned estimator for large-dimensional covariance matrices
• Condition-number-regularized covariance estimation
• Covariance estimation: the GLM and regularization perspectives
• Estimating covariance matrices
• Estimation of a covariance matrix using the reference prior
• Estimation of the population spectral distribution from a large dimensional sample covariance matrix
• Flexible covariance estimation in graphical Gaussian models
• Improved Stein-type shrinkage estimators for the high-dimensional multivariate normal covariance matrix
• Lectures on the theory of estimation of many parameters
• Nonparametric Stein-type shrinkage covariance matrix estimators in high-dimensional settings
• On the distribution of the largest eigenvalue in principal components analysis
• Optimal estimation of a large-dimensional covariance matrix under Stein's loss
• Shrinkage Estimators for Covariance Matrices
• Shrinkage estimation of large dimensional precision matrix using random matrix theory
• Spectrum estimation for large dimensional covariance matrices using random matrix theory
• Wishart distributions for decomposable covariance graph models

Cited in

(3)

• A note on covariance estimation in the unbiased estimator of risk framework
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• Some statistical problems with high dimensional financial data

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