Shrinkage estimation of large dimensional precision matrix using random matrix theory

DOI10.5705/ss.2012.328zbMath1415.62035OpenAlexW2333974280MaRDI QIDQ2950201

Guangming Pan, Li Xing Zhu, Cheng Wang, Tie Jun Tong

Publication date: 8 October 2015

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.2012.328

zbMATH Keywords

shrinkage estimationrandom matrix theoryprecision matrixridge-type estimatorlarge dimensional data

Mathematics Subject Classification ID

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

Related Items (10)

Direct shrinkage estimation of large dimensional precision matrix ⋮ The role of the isotonizing algorithm in Stein's covariance matrix estimator ⋮ The comparison of the estimators of banded toeplitz covariance structure under the high-dimensional multivariate model ⋮ Ridge-type linear shrinkage estimation of the mean matrix of a high-dimensional normal distribution ⋮ Precision matrix estimation under the horseshoe-like prior-penalty dual ⋮ Infinite mixtures of infinite factor analysers ⋮ Weighted covariance matrix estimation ⋮ On the dimension effect of regularized linear discriminant analysis ⋮ Recent advances in shrinkage-based high-dimensional inference ⋮ Testing for independence of large dimensional vectors

This page was built for publication: Shrinkage estimation of large dimensional precision matrix using random matrix theory