Linear pooling of sample covariance matrices

DOI10.1109/TSP.2021.3139207MaRDI QIDQ6602710zbMATH OpenFDO

Authors Elias Raninen, David E. Tyler, Esa Ollila

Publication date 12 September 2024

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

Full work available at URL https://doi.org/10.1109/TSP.2021.3139207

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Ridge regression; shrinkage estimators (Lasso) (62J07) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Cited in

(3)

• Ridge estimation of covariance matrix from data in two classes.
• An analysis of David E. Tyler's publication and coauthor network
• On robust estimators of a sphericity measure in high dimension

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