Optimal Shrinkage Covariance Matrix Estimation Under Random Sampling From Elliptical Distributions

DOI10.1109/TSP.2019.2908144zbMath1458.94114arXiv1808.10188WikidataQ128145684 ScholiaQ128145684MaRDI QIDQ5238814

Elias Raninen, Esa Ollila

Publication date: 28 October 2019

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

Full work available at URL: https://arxiv.org/abs/1808.10188

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

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