A well-conditioned estimator for large-dimensional covariance matrices (Q149569)
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scientific article; zbMATH DE number 2037159
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A well-conditioned estimator for large-dimensional covariance matrices |
scientific article; zbMATH DE number 2037159 |
Statements
88
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2
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365-411
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February 2004
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3 February 2004
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A well-conditioned estimator for large-dimensional covariance matrices (English)
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Condition number
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Covariance matrix estimation
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Empirical Bayes
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General asymptotics
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Shrinkage
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