Error covariance matrix estimation using ridge estimator

DOI10.1016/j.spl.2012.09.011zbMath1489.62215OpenAlexW2041063519MaRDI QIDQ1933734

June Luo, K. B. Kulasekera

Publication date: 25 January 2013

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.09.011

zbMATH Keywords

high dimensionasymptotic propertyridge estimationerror covariance matrix

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic properties of nonparametric inference (62G20)

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