Estimating high dimensional covariance matrices: a new look at the Gaussian conjugate framework
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Publication:406528
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- Nonlinear shrinkage estimation of large-dimensional covariance matrices
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- Shrinkage Algorithms for MMSE Covariance Estimation
- Shrinkage Estimators for Covariance Matrices
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- Wishart distributions for decomposable covariance graph models
Cited in
(14)- High‐dimensional covariance matrix estimation using a low‐rank and diagonal decomposition
- Is future climate predictable with statistics?
- Ridge estimation of covariance matrix from data in two classes.
- Improved Stein-type shrinkage estimators for the high-dimensional multivariate normal covariance matrix
- Shrinkage priors for single-spiked covariance models
- scientific article; zbMATH DE number 6612980 (Why is no real title available?)
- Investigating the association between late spring Gulf of Mexico sea surface temperatures and U.S. Gulf Coast precipitation extremes with focus on Hurricane Harvey
- Unified improvements in estimation of a normal covariance matrix in high and low dimensions
- High-dimensional realized covariance estimation: a parametric approach
- Improved shrinkage estimator of large-dimensional covariance matrix under the complex Gaussian distribution
- Updating of the Gaussian graphical model through targeted penalized estimation
- Nonparametric Stein-type shrinkage covariance matrix estimators in high-dimensional settings
- Comparison of linear shrinkage estimators of a large covariance matrix in normal and non-normal distributions
- High dimensional semiparametric estimate of latent covariance matrix for matrix-variate
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