Estimating high dimensional covariance matrices: a new look at the Gaussian conjugate framework
DOI10.1016/J.JMVA.2014.06.001zbMATH Open1306.62120OpenAlexW1968634476WikidataQ116752812 ScholiaQ116752812MaRDI QIDQ406528FDOQ406528
Authors: Alexis Hannart, Philippe Naveau 
Publication date: 8 September 2014
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2014.06.001
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Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Empirical decision procedures; empirical Bayes procedures (62C12)
Cites Work
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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
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- 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
- Nonparametric Stein-type shrinkage covariance matrix estimators in high-dimensional settings
- Updating of the Gaussian graphical model through targeted penalized estimation
- 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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