Improved Stein-type shrinkage estimators for the high-dimensional multivariate normal covariance matrix
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Publication:901577
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Cites work
- scientific article; zbMATH DE number 3122730 (Why is no real title available?)
- scientific article; zbMATH DE number 3314854 (Why is no real title available?)
- A well-conditioned estimator for large-dimensional covariance matrices
- Biased versus unbiased estimation
- Cholesky Decompositions and Estimation of A Covariance Matrix: Orthogonality of Variance Correlation Parameters
- Comparison of Discrimination Methods for High Dimensional Data
- Comparison of Discrimination Methods for the Classification of Tumors Using Gene Expression Data
- Covariance matrix selection and estimation via penalised normal likelihood
- Data Analysis Using Stein's Estimator and its Generalizations
- Generalized thresholding of large covariance matrices
- High dimensional covariance matrix estimation using a factor model
- Limit of the smallest eigenvalue of a large dimensional sample covariance matrix
- Regularized estimation of large covariance matrices
- Simultaneous modelling of the Cholesky decomposition of several covariance matrices
Cited in
(35)- Comment: Ridge Regression and Regularization of Large Matrices
- Scale matrix estimation of an elliptically symmetric distribution in high and low dimensions
- Two-group classification with high-dimensional correlated data: a factor model approach
- Variational discriminant analysis with variable selection
- Estimation of a high-dimensional covariance matrix with the Stein loss
- Weighted covariance matrix estimation
- An analysis of the impact of rent control on New York City housing
- Ridge estimation of covariance matrix from data in two classes.
- Shrinkage estimation of higher-order Bochner integrals
- A class of optimal estimators for the covariance operator in reproducing kernel Hilbert spaces
- Polynomial whitening for high-dimensional data
- Correlation structure selection for longitudinal data with diverging cluster size
- A shrinkage approach to joint estimation of multiple covariance matrices
- Shrinkage estimation for the mean of the inverse Gaussian population
- Linear shrinkage estimation of large covariance matrices using factor models
- The role of the isotonizing algorithm in Stein's covariance matrix estimator
- Sample covariance shrinkage for high dimensional dependent data
- A comparison of methods for estimating the determinant of high-dimensional covariance matrix
- Matrix means and a novel high-dimensional shrinkage phenomenon
- Optimal estimation of a large-dimensional covariance matrix under Stein's loss
- Improved shrinkage estimator of large-dimensional covariance matrix under the complex Gaussian distribution
- The spectral condition number plot for regularization parameter evaluation
- Nonparametric Stein-type shrinkage covariance matrix estimators in high-dimensional settings
- Simplicial and minimal-variance distances in multivariate data analysis
- Estimating high dimensional covariance matrices: a new look at the Gaussian conjugate framework
- Linear shrinkage estimation of high-dimensional means
- The beta-mixture shrinkage prior for sparse covariances with near-minimax posterior convergence rate
- Double shrinkage estimators for large sparse covariance matrices
- Target selection in shrinkage estimation of covariance matrix: a structural similarity approach
- A high-dimensional classification rule using sample covariance matrix equipped with adjusted estimated eigenvalues
- Comparison of linear shrinkage estimators of a large covariance matrix in normal and non-normal distributions
- Some statistical problems with high dimensional financial data
- scientific article; zbMATH DE number 7387534 (Why is no real title available?)
- Regularized Buckley-James method for right-censored outcomes with block-missing multimodal covariates
- Estimation of covariance and precision matrices under scale-invariant quadratic loss in high dimension
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