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

DOI10.1016/J.SPL.2016.12.002zbMATH Open1463.62210OpenAlexW2559985623MaRDI QIDQ511555FDOQ511555

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

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zbMATH Keywords

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

Mathematics Subject Classification ID

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

Cites Work

• Functions of Matrices
• Sparse inverse covariance estimation with the graphical lasso
• Ridge estimation of inverse covariance matrices from high-dimensional data
• All Invariant Moments of the Wishart Distribution
• Title not available (Why is that?)
• The risk of James-Stein and Lasso shrinkage

Cited In (11)

• Ridge estimation of inverse covariance matrices from high-dimensional data
• Ridge estimation of covariance matrix from data in two classes.
• The discovery of mean square error consistency of a ridge estimator
• Title not available (Why is that?)
• HDBRR: a statistical package for high-dimensional Bayesian ridge regression without MCMC
• Perturbation-based classifier
• The spectral condition number plot for regularization parameter evaluation
• Estimation of error variance via ridge regression
• 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

Uses Software

• glasso
• mftoolbox

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