Large dimensional analysis and optimization of robust shrinkage covariance matrix estimators

DOI10.1016/j.jmva.2014.06.018zbMath1306.62119arXiv1401.4083OpenAlexW2115972246MaRDI QIDQ406518

Romain Couillet, Matthew R. McKay

Publication date: 8 September 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1401.4083

zbMATH Keywords

random matrix theoryrobust estimationlinear shrinkage

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Nonparametric robustness (62G35) Random matrices (probabilistic aspects) (60B20)

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Uses Software

• robustbase

Cites Work

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