An orthogonally equivariant estimator of the covariance matrix in high dimensions and for small sample sizes

DOI10.1016/j.jspi.2020.10.006zbMath1465.62096arXiv1711.08411OpenAlexW2768781802WikidataQ104101618 ScholiaQ104101618MaRDI QIDQ830703

Samprit Banerjee, Stefano Monni

Publication date: 7 May 2021

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1711.08411

zbMATH Keywords

eigenvalue estimatehigh-dimensional inferencesingular Wishart distributioncovariance matrix estimationadjusted profile likelihood

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Monte Carlo methods (65C05) Eigenvalues, singular values, and eigenvectors (15A18)

Uses Software

• spcov
• QuEST

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Sparse estimation of a covariance matrix
• Estimation of a high-dimensional covariance matrix with the Stein loss
• A regularized profile likelihood approach to covariance matrix estimation
• Spectrum estimation for large dimensional covariance matrices using random matrix theory
• Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss
• An orthogonally invariant minimax estimator of the covariance matrix of a multivariate normal population
• Estimation of a covariance matrix under Stein's loss
• Lectures on the theory of estimation of many parameters
• On singular Wishart and singular multivariate beta distributions
• Wishart and pseudo-Wishart distributions and some applications to shape theory
• Numerical implementation of the QuEST function
• Optimal estimation of a large-dimensional covariance matrix under Stein's loss
• Analytical nonlinear shrinkage of large-dimensional covariance matrices
• Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
• SURE-tuned tapering estimation of large covariance matrices
• Regularized estimation of large covariance matrices
• On a formula for the distribution of the maximum likelihood estimator
• WKB-Expansion of the HarishChandra-Itzykson-Zuber Integral for Arbitrary
• Improved Estimation of Eigenvalues and Eigenvectors of Covariance Matrices Using Their Sample Estimates
• Eigenvalue Estimation of Parameterized Covariance Matrices of Large Dimensional Data
• On Certain Characteristics of the Distribution of the Latent Roots of a Symmetric Random Matrix Under General Conditions
• Condition-Number-Regularized Covariance Estimation