Linear pooling of sample covariance matrices

DOI10.1109/TSP.2021.3139207zbMATH Open1548.62179MaRDI QIDQ6602710

Elias Raninen, Esa Ollila, David E. Tyler

Publication date: 12 September 2024

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

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Ridge regression; shrinkage estimators (Lasso) (62J07) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Related Items (3)

Ridge estimation of covariance matrix from data in two classes. ⋮ An analysis of David E. Tyler's publication and coauthor network ⋮ On robust estimators of a sphericity measure in high dimension

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