Target selection in shrinkage estimation of covariance matrix: a structural similarity approach
From MaRDI portal
Publication:6540901
Cites work
- A calibration method for non-positive definite covariance matrix in multivariate data analysis
- A new test for sphericity of the covariance matrix for high dimensional data
- A well-conditioned estimator for large-dimensional covariance matrices
- Analytical nonlinear shrinkage of large-dimensional covariance matrices
- Banding sample autocovariance matrices of stationary processes
- Coupled regularized sample covariance matrix estimator for multiple classes
- Covariance regularization by thresholding
- Covariance structure regularization via entropy loss function
- Estimation and optimal structure selection of high-dimensional Toeplitz covariance matrix
- Estimation for Markowitz Efficient Portfolios
- Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants
- High dimensional minimum variance portfolio estimation under statistical factor models
- Improved Stein-type shrinkage estimators for the high-dimensional multivariate normal covariance matrix
- MSE performance of the weighted average estimators consisting of shrinkage estimators when each individual regression coefficient is estimated
- Multi-Target Shrinkage Estimation for Covariance Matrices
- Nonparametric estimation of large covariance matrices of longitudinal data
- On the distribution of the largest eigenvalue in principal components analysis
- Recent advances in shrinkage-based high-dimensional inference
- Shrinkage Algorithms for MMSE Covariance Estimation
- Shrinkage estimation of large covariance matrices: keep it simple, statistician?
- Testing the equality of several covariance matrices with fewer observations than the dimension
- Tests for high-dimensional covariance matrices
- The Matrix-Logarithmic Covariance Model
This page was built for publication: Target selection in shrinkage estimation of covariance matrix: a structural similarity approach
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6540901)