Ridge estimation of covariance matrix from data in two classes.
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Cites work
- A calibration method for non-positive definite covariance matrix in multivariate data analysis
- A well-conditioned estimator for large-dimensional covariance matrices
- Applications on linear spectral statistics of high-dimensional sample covariance matrix with divergent spectrum
- Comment: Ridge Regression and Regularization of Large Matrices
- Coupled regularized sample covariance matrix estimator for multiple classes
- Covariance function versus covariance matrix estimation in efficient semi-parametric regression for longitudinal data analysis
- Covariance matrix selection and estimation via penalised normal likelihood
- Covariance-regularized regression and classification for high dimensional problems
- Elastic-net Regularized High-dimensional Negative Binomial Regression: Consistency and Weak Signal Detection
- Estimating high dimensional covariance matrices: a new look at the Gaussian conjugate framework
- Estimation and optimal structure selection of high-dimensional Toeplitz covariance matrix
- Generalized spacings of order statistics from extended sample
- Geometric Distance Between Positive Definite Matrices of Different Dimensions
- How close is the sample covariance matrix to the actual covariance matrix?
- scientific article; zbMATH DE number 5131267 (Why is no real title available?)
- Improved Stein-type shrinkage estimators for the high-dimensional multivariate normal covariance matrix
- Linear pooling of sample covariance matrices
- Nonparametric estimation of large covariance matrices with conditional sparsity
- On reduction of finite-sample variance by extended Latin hypercube sampling
- On the Asymptotic Behavior of the Sample Estimates of Eigenvalues and Eigenvectors of Covariance Matrices
- Penalized Normal Likelihood and Ridge Regularization of Correlation and Covariance Matrices
- Positive-definite _1-penalized estimation of large covariance matrices
- Positive-definite modification of a covariance matrix by minimizing the matrix \(\ell_{\infty}\) norm with applications to portfolio optimization
- Rate of convergence in probability to the Marchenko-Pastur law
- Recent advances in shrinkage-based high-dimensional inference
- Regularized linear discriminant analysis based on generalized capped \(l_{2, q}\)-norm
- Ridge estimation of inverse covariance matrices from high-dimensional data
- Ridge-type linear shrinkage estimation of the mean matrix of a high-dimensional normal distribution
- Sparse estimation of a covariance matrix
- Spectral statistics of high dimensional sample covariance matrix with unbounded population spectral norm
- The Joint Graphical Lasso for Inverse Covariance Estimation Across Multiple Classes
- Unified improvements in estimation of a normal covariance matrix in high and low dimensions
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