Nonlinear shrinkage estimation of large-dimensional covariance matrices

DOI10.1214/12-aos989zbMath1274.62371arXiv1207.5322OpenAlexW2950381474MaRDI QIDQ149570

Michael Wolf, Olivier Ledoit, Olivier Ledoit, Michael Wolf

Publication date: 1 April 2012

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1207.5322

zbMATH Keywords

large-dimensional asymptoticsnonlinear shrinkagerotation equivariance

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Random matrices (probabilistic aspects) (60B20)

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Uses Software

• SNOPT

Cites Work

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• Analysis of the limiting spectral distribution of large dimensional random matrices
• Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
• Wishart distributions for decomposable covariance graph models
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• Finite sample size effect on minimum variance beamformers: optimum diagonal loading factor for large arrays
• SNOPT: An SQP Algorithm for Large-Scale Constrained Optimization
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES

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