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

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)

Cites Work

• Title not available (Why is that?)
• 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
• The Risk of James–Stein and Lasso Shrinkage

Cited In (7)

• 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
• 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

Recommendations

• Title not available (Why is that?) 👍 👎
• The Generalized Ridge Estimator of the Inverse Covariance Matrix 👍 👎
• On the performance of two parameter ridge estimator under the mean square error criterion 👍 👎
• Ridge estimation in semiparametric linear measurement error models 👍 👎
• Error covariance matrix estimation using ridge estimator 👍 👎
• The discovery of mean square error consistency of a ridge estimator 👍 👎
• Estimation of error variance via ridge regression 👍 👎

This page was built for publication: On the mean squared error of the ridge estimator of the covariance and precision matrix

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q511555)