JOURNAL ARTICLE

Large dimensional analysis and optimization of robust shrinkage covariance matrix estimators

Romain CouilletMatthew R. McKay

Year: 2014 Journal:   Journal of Multivariate Analysis Vol: 131 Pages: 99-120   Publisher: Elsevier BV
Keywords:
Estimator Mathematics Scatter matrix Outlier Covariance matrix Shrinkage estimator Shrinkage Applied mathematics Population Estimation of covariance matrices Robustness (evolution) Statistics Covariance Minimax estimator Minimum-variance unbiased estimator

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Topics

Random Matrices and Applications
Physical Sciences →  Mathematics →  Statistics and Probability
Advanced Statistical Methods and Models
Physical Sciences →  Mathematics →  Statistics and Probability
Point processes and geometric inequalities
Physical Sciences →  Mathematics →  Applied Mathematics
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