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SURE-tuned tapering estimation of large covariance matrices - MaRDI portal

SURE-tuned tapering estimation of large covariance matrices (Q2361207)

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SURE-tuned tapering estimation of large covariance matrices
scientific article

    Statements

    title
    SURE-tuned tapering estimation of large covariance matrices (English)
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    author
    Feng Yi
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    Hui Zou
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    publication date
    30 June 2017
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    zbMATH Keywords
    covariance matrix
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    cross-validation
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    Frobenius norm
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    operator norms
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    SURE
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    tapering estimator
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    Identifiers

    Mathematics Subject Classification ID
    62H12
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    62J10
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    62-07
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    62P35
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    86A32
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    zbMATH DE Number
    6737359
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    OpenAlex ID
    W1972500015
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