Shrinkage-to-Tapering Estimation of Large Covariance Matrices

DOI10.1109/TSP.2012.2210546MaRDI QIDQ4574100zbMATH OpenWikidataFDO

Authors Xiaohui Chen, Z. Jane Wang, Martin J. McKeown

Publication date 18 July 2018

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited in

(6)

• An adaptive covariance parameterization technique for the ensemble Gaussian mixture filter
• Analytical nonlinear shrinkage of large-dimensional covariance matrices
• Improved shrinkage estimator of large-dimensional covariance matrix under the complex Gaussian distribution
• Shrinkage estimation of large dimensional precision matrix using random matrix theory
• Shrinkage Estimators for Covariance Matrices
• Shrinkage estimation of large covariance matrices: keep it simple, statistician?

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