Shrinkage-to-Tapering Estimation of Large Covariance Matrices

DOI10.1109/TSP.2012.2210546zbMATH Open1393.94193WikidataQ60767174 ScholiaQ60767174MaRDI QIDQ4574100FDOQ4574100

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
• Shrinkage estimation of large dimensional precision matrix using random matrix theory
• Improved shrinkage estimator of large-dimensional covariance matrix under the complex Gaussian distribution
• Shrinkage Estimators for Covariance Matrices
• Shrinkage estimation of large covariance matrices: keep it simple, statistician?

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