JOURNAL ARTICLE

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

Taras BodnarArjun K. GuptaNestor Parolya

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

Metrics

47
Cited By
3.23
FWCI (Field Weighted Citation Impact)
49
Refs
0.92
Citation Normalized Percentile
Is in top 1%
Is in top 10%

Citation History

Topics

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

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