Comparison of linear shrinkage estimators of a large covariance matrix in normal and non-normal distributions

DOI10.1016/j.csda.2015.09.011zbMath1468.62087OpenAlexW1827518550MaRDI QIDQ1659485

Tatsuya Kubokawa, Yuki Ikeda, Muni S. Srivastava

Publication date: 15 August 2018

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

Full work available at URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2015/2015cf970.pdf

zbMATH Keywords

covariance matrixnormal distributionshrinkagehigh dimensionlarge samplenon-normal distributionrisk functionlinear shrinkage estimatordouble shrinkage

Mathematics Subject Classification ID

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

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