Improved Stein-type shrinkage estimators for the high-dimensional multivariate normal covariance matrix

DOI10.1016/j.csda.2010.12.006zbMath1328.62336OpenAlexW2032783896MaRDI QIDQ901577

Thomas J. Fisher, Xiaoqian Sun

Publication date: 12 January 2016

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2010.12.006

zbMATH Keywords

covariance matrixshrinkage estimationhigh-dimensional data analysis

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

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