Unbiased risk estimation method for covariance estimation

DOI10.1051/ps/2013034zbMath1305.62149arXiv1112.4735OpenAlexW2106284243MaRDI QIDQ5174353

Hélène Lescornel, Claudie Chabriac, Jean-Michel Loubes

Publication date: 17 February 2015

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.4735

zbMATH Keywords

model selectioncovariance estimationU.R.E. method

Mathematics Subject Classification ID

Nonparametric estimation (62G05)

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