Robust Shrinkage Estimation of High-Dimensional Covariance Matrices

DOI10.1109/TSP.2011.2138698zbMath1391.62088arXiv1009.5331MaRDI QIDQ4573154

Yilun Chen, Ami Wiesel, Alfred O. III Hero

Publication date: 18 July 2018

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1009.5331

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Robustness and adaptive procedures (parametric inference) (62F35)

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