Regularized covariance matrix estimation under the common principal components model

DOI10.1080/03610918.2015.1040499OpenAlexW2275772153MaRDI QIDQ5084728FDOQ5084728

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

• Sparse estimation of a covariance matrix
• Title not available (Why is that?)
• Title not available (Why is that?)
• Robust m-estimators of multivariate location and scatter
• A well-conditioned estimator for large-dimensional covariance matrices
• Title not available (Why is that?)
• An Algorithm for Simultaneous Orthogonal Transformation of Several Positive Definite Symmetric Matrices to Nearly Diagonal Form
• Robust estimation and outlier detection with correlation coefficients
• Shrinkage Estimators for Covariance Matrices
• A comparison of some methods for the selection of a common eigenvector model for the covariance matrices of two groups

Uses Software

• R
• spcov

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