Large dimensional analysis and optimization of robust shrinkage covariance matrix estimators
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Publication:406518
DOI10.1016/j.jmva.2014.06.018zbMath1306.62119arXiv1401.4083OpenAlexW2115972246MaRDI QIDQ406518
Romain Couillet, Matthew R. McKay
Publication date: 8 September 2014
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1401.4083
Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Nonparametric robustness (62G35) Random matrices (probabilistic aspects) (60B20)
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Uses Software
Cites Work
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