Estimating high dimensional covariance matrices: a new look at the Gaussian conjugate framework

DOI10.1016/j.jmva.2014.06.001zbMath1306.62120OpenAlexW1968634476WikidataQ116752812 ScholiaQ116752812MaRDI QIDQ406528

Alexis Hannart, Philippe Naveau

Publication date: 8 September 2014

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2014.06.001

zbMATH Keywords

empirical Bayesshrinkage estimationcovariance matrix estimation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Empirical decision procedures; empirical Bayes procedures (62C12)

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Cites Work

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• Condition-Number-Regularized Covariance Estimation
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