Nonparametric Stein-type shrinkage covariance matrix estimators in high-dimensional settings

DOI10.1016/j.csda.2014.10.018OpenAlexW1990974373MaRDI QIDQ1623798

Anestis Touloumis

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1410.4726

zbMATH Keywords

covariance matrixshrinkage estimationnonparametric estimationhigh-dimensional settings

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Nonparametric estimation (62G05)

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Uses Software

• R

Cites Work

• Unnamed Item
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