On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix

Taras Bodnar; Arjun K. Gupta; Nestor Parolya

doi:10.1016/j.jmva.2014.08.006

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On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix

Taras Bodnar Arjun K. Gupta Nestor Parolya

Year: 2014 Journal: Journal of Multivariate Analysis Vol: 132 Pages: 215-228 Publisher: Elsevier BV

DOI: 10.1016/j.jmva.2014.08.006

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Keywords:

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

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Random Matrices and Applications

Physical Sciences → Mathematics → Statistics and Probability

Advanced Algebra and Geometry

Physical Sciences → Mathematics → Mathematical Physics

Statistical Methods and Inference

Physical Sciences → Mathematics → Statistics and Probability

On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix

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