DOI10.1111/j.1467-9868.2012.01049.xzbMath1411.62146OpenAlexW1959730594WikidataQ36887526 ScholiaQ36887526MaRDI QIDQ5743159
Bala Rajaratnam, Seung-Jean Kim, Johan Lim, Joong-Ho Won
Publication date: 9 May 2019
Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)
Full work available at URL: http://europepmc.org/articles/pmc3667751
A Cholesky-based estimation for large-dimensional covariance matrices,
A note on covariance estimation in the unbiased estimator of risk framework,
An orthogonally equivariant estimator of the covariance matrix in high dimensions and for small sample sizes,
Quadratic shrinkage for large covariance matrices,
The role of the isotonizing algorithm in Stein's covariance matrix estimator,
Generalized estimating equations with stabilized working correlation structure,
Ridge estimation of inverse covariance matrices from high-dimensional data,
Multilevel maximum likelihood estimation with application to covariance matrices,
Clusterwise linear regression modeling with soft scale constraints,
Optimal shrinkage of eigenvalues in the spiked covariance model,
Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage,
Matrix means and a novel high-dimensional shrinkage phenomenon,
Numerical instability of calculating inverse of spatial covariance matrices,
On variable ordination of Cholesky‐based estimation for a sparse covariance matrix,
Estimating high dimensional covariance matrices: a new look at the Gaussian conjugate framework,
High-dimensional Markowitz portfolio optimization problem: empirical comparison of covariance matrix estimators,
Two sample test for high-dimensional partially paired data,
On the condition number anomaly of Gaussian correlation matrices,
Design-free estimation of variance matrices,
On Parameter Estimation for High Dimensional Errors-in-Variables Models,
Efficient algorithms for solving condition number-constrained matrix minimization problems,
An efficient numerical method for condition number constrained covariance matrix approximation,
Accuracy of regularized D-rule for binary classification,
Optimal estimation of a large-dimensional covariance matrix under Stein's loss,
The minimum regularized covariance determinant estimator,
On generating random Gaussian graphical models,
Restoring Definiteness via Shrinking, with an Application to Correlation Matrices with a Fixed Block,
Graph-Guided Banding of the Covariance Matrix,
Positive-definite modification of a covariance matrix by minimizing the matrix \(\ell_{\infty}\) norm with applications to portfolio optimization,
Sparse precision matrices for minimum variance portfolios,
Simplicial and minimal-variance distances in multivariate data analysis,
Mitigating unobserved spatial confounding when estimating the effect of supermarket access on cardiovascular disease deaths,
The spectral condition number plot for regularization parameter evaluation,
Conditioning theory of the equality constrained quadratic programming and its applications,
Unnamed Item,
An improved banded estimation for large covariance matrix,
Distributionally Robust Inverse Covariance Estimation: The Wasserstein Shrinkage Estimator
