A regularized profile likelihood approach to covariance matrix estimation

DOI10.1016/J.JSPI.2016.06.004zbMATH Open1364.62125OpenAlexW2461043160MaRDI QIDQ334313FDOQ334313

Authors Samprit Banerjee, Stefano Monni, Martin T. Wells 

Publication date 1 November 2016

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2016.06.004

zbMATH Keywords

eigenvaluesLaplace approximationisotonic regressioncovariance matrixmodified profile likelihood

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

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Cited in

(7)

• An orthogonally equivariant estimator of the covariance matrix in high dimensions and for small sample sizes
• Stable estimators of inverse covariance matrices
• Estimating a covariance matrix for market risk management and the case of credit default swaps
• Covariance structure regularization via Frobenius-norm discrepancy
• The role of the isotonizing algorithm in Stein's covariance matrix estimator
• A Stein's approach to covariance matrix estimation using regularization of Cholesky factor and log-Cholesky metric
• Covariance matrix estimation in the presence of auxiliary information

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