Optimal shrinkage of eigenvalues in the spiked covariance model (Q2413608)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal shrinkage of eigenvalues in the spiked covariance model |
scientific article |
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Optimal shrinkage of eigenvalues in the spiked covariance model (English)
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14 September 2018
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covariance estimation
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optimal shrinkage
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Stein loss
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entropy loss
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divergence loss
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Fréchet distance
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Bhattacharya/Matusita affinity
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condition number loss
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high-dimensional asymptotics
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spiked covariance
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0.9014051
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0.9000209
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0.89451265
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0.89363706
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0.89048415
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0.8903977
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0.89005226
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0.8890708
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