Optimal Shrinkage Covariance Matrix Estimation Under Random Sampling From Elliptical Distributions

DOI10.1109/TSP.2019.2908144zbMath1458.94114arXiv1808.10188MaRDI QIDQ5238814

Esa Ollila, Elias Raninen

Publication date: 28 October 2019

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.10188

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

94A12: Signal theory (characterization, reconstruction, filtering, etc.)