Regularized covariance matrix estimation under the common principal components model

DOI10.1080/03610918.2015.1040499MaRDI QIDQ5084728zbMATH OpenOpenAlexFDO

Authors P. T. Pepler, D. W. Uys, Daan G. Nel

Publication date 28 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2015.1040499

zbMATH Keywords

principal component analysiscommon principal componentscovariance matrixMonte Carlo simulationweighted estimator

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• scientific article; zbMATH DE number 41813 (Why is no real title available?)
• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• scientific article; zbMATH DE number 961607 (Why is no real title available?)
• A comparison of some methods for the selection of a common eigenvector model for the covariance matrices of two groups
• A well-conditioned estimator for large-dimensional covariance matrices
• An Algorithm for Simultaneous Orthogonal Transformation of Several Positive Definite Symmetric Matrices to Nearly Diagonal Form
• Robust estimation and outlier detection with correlation coefficients
• Robust m-estimators of multivariate location and scatter
• Shrinkage Estimators for Covariance Matrices
• Sparse estimation of a covariance matrix

Describes a project that uses

Uses Software

• R
• spcov

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