scientific article; zbMATH DE number 1047772

MaRDI QIDQ4347939zbMATH OpenFDO

Authors Vyacheslav Girko, Arjun K. Gupta

Publication date 19 October 1997

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Linear regression; mixed models (62J05) Linear inference, regression (62J99)

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Cited in

(5)

• Direct shrinkage estimation of large dimensional precision matrix
• Theory of stochastic canonical equations. Vol. 1
• Elliptically contoured models in statistics and portfolio theory
• Multivariate statistics
• On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix

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