Comparison of linear shrinkage estimators of a large covariance matrix in normal and non-normal distributions (Q1659485)
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scientific article; zbMATH DE number 6918605
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Comparison of linear shrinkage estimators of a large covariance matrix in normal and non-normal distributions |
scientific article; zbMATH DE number 6918605 |
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Comparison of linear shrinkage estimators of a large covariance matrix in normal and non-normal distributions (English)
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15 August 2018
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covariance matrix
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double shrinkage
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high dimension
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large sample
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non-normal distribution
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normal distribution
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linear shrinkage estimator
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risk function
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shrinkage
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