On the mean squared error of the ridge estimator of the covariance and precision matrix

DOI10.1016/J.SPL.2016.12.002MaRDI QIDQ511555zbMATH OpenOpenAlexFDO

Authors Wessel N. van Wieringen

Publication date 21 February 2017

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2016.12.002

zbMATH Keywords

multivariate normal\(\ell_2\)-penalizationinverse covariance matrix

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

• scientific article; zbMATH DE number 3443026 (Why is no real title available?)
• All Invariant Moments of the Wishart Distribution
• Functions of Matrices
• Ridge estimation of inverse covariance matrices from high-dimensional data
• Sparse inverse covariance estimation with the graphical lasso
• The risk of James-Stein and Lasso shrinkage

Cited in

(11)

• The discovery of mean square error consistency of a ridge estimator
• HDBRR: a statistical package for high-dimensional Bayesian ridge regression without MCMC
• scientific article; zbMATH DE number 3846687 (Why is no real title available?)
• The spectral condition number plot for regularization parameter evaluation
• Estimation of error variance via ridge regression
• Ridge estimation of covariance matrix from data in two classes.
• On the performance of two parameter ridge estimator under the mean square error criterion
• The Generalized Ridge Estimator of the Inverse Covariance Matrix
• Updating of the Gaussian graphical model through targeted penalized estimation
• Perturbation-based classifier
• Ridge estimation of inverse covariance matrices from high-dimensional data

Describes a project that uses

Uses Software

• glasso
• mftoolbox

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