Nonparametric Stein-type shrinkage covariance matrix estimators in high-dimensional settings

Anestis Touloumis

doi:10.1016/j.csda.2014.10.018

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Nonparametric Stein-type shrinkage covariance matrix estimators in high-dimensional settings

Anestis Touloumis

Year: 2014 Journal: Computational Statistics & Data Analysis Vol: 83 Pages: 251-261 Publisher: Elsevier BV

DOI: 10.1016/j.csda.2014.10.018

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Keywords:

Mathematics Estimation of covariance matrices Shrinkage estimator Covariance matrix Covariance Scatter matrix Identity matrix Estimator Covariance intersection Covariance function Statistics Matrix (chemical analysis) Applied mathematics Minimax estimator Minimum-variance unbiased estimator Eigenvalues and eigenvectors

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Soil Geostatistics and Mapping

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Statistical Methods and Bayesian Inference

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Nonparametric Stein-type shrinkage covariance matrix estimators in high-dimensional settings

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