Stable estimators of inverse covariance matrices

DOI10.1007/S10958-013-1241-9MaRDI QIDQ354872zbMATH OpenOpenAlexFDO

Authors V. I. Serdobol'skij

Publication date 22 July 2013

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10958-013-1241-9

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cited in

(4)

• Estimation of covariance matrices based on hierarchical inverse-Wishart priors
• Optimal uncertainty size in distributionally robust inverse covariance estimation
• On a relationship between the inverse of a stationary covariance matrix and the linear interpolator
• Optimal Multiple Decision Statistical Procedure for Inverse Covariance Matrix

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