Optimal estimation of a large-dimensional covariance matrix under Stein's loss

DOI10.3150/17-BEJ979zbMath1415.62032OpenAlexW3123766383MaRDI QIDQ1750102

Michael Wolf, Olivier Ledoit

Publication date: 18 May 2018

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1524038770

zbMATH Keywords

random matrix theorylarge-dimensional asymptoticsStein's lossrotation equivariancenonlinear shrinkage estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Random matrices (probabilistic aspects) (60B20)

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Uses Software

• SNOPT

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