Analytical nonlinear shrinkage of large-dimensional covariance matrices
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Publication:2215772
DOI10.1214/19-AOS1921zbMath1456.62105OpenAlexW2900574948MaRDI QIDQ2215772
Publication date: 14 December 2020
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aos/1600480942
Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Matrix equations and identities (15A24)
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