On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix

DOI10.1016/j.jmva.2014.08.006zbMath1333.60047arXiv1308.2608OpenAlexW2006037805MaRDI QIDQ458655

Arjun K. Gupta, Taras Bodnar, Nestor Parolya

Publication date: 8 October 2014

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

Full work available at URL: https://arxiv.org/abs/1308.2608

zbMATH Keywords

strong convergencerandom matrix theorylarge dimensional covariance matrixoptimal linear shrinkage estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Random matrices (probabilistic aspects) (60B20) Strong limit theorems (60F15) Random matrices (algebraic aspects) (15B52)

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