Multi-Target Shrinkage Estimation for Covariance Matrices

DOI10.1109/TSP.2014.2364784zbMath1394.62068OpenAlexW1991289661MaRDI QIDQ4579623

Tomer Lancewicki, Mayer E. Aladjem

Publication date: 22 August 2018

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

Full work available at URL: https://doi.org/10.1109/tsp.2014.2364784

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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