A note on covariance estimation in the unbiased estimator of risk framework

DOI10.1016/j.jspi.2016.02.004zbMath1341.62128OpenAlexW2283837406MaRDI QIDQ282890

Bala Rajaratnam, Dario Vincenzi

Publication date: 12 May 2016

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2016.02.004

zbMATH Keywords

covariance estimationStein's estimatorunbiased estimator of risk framework

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Empirical decision procedures; empirical Bayes procedures (62C12)

Related Items (3)

Quadratic shrinkage for large covariance matrices ⋮ On Parameter Estimation for High Dimensional Errors-in-Variables Models ⋮ On the maximum likelihood estimation of a covariance matrix

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• A Hierarchical Eigenmodel for Pooled Covariance Estimation
• A theoretical study of Stein's covariance estimator
• Condition-Number-Regularized Covariance Estimation

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