A shrinkage approach to joint estimation of multiple covariance matrices
type: Item
instance of: scholarly article
title: A shrinkage approach to joint estimation of multiple covariance matrices
zbMATH Open document ID: 1467.62087
author: Zongliang Hu
author: Kai Dong
author: Yuedong Wang
author: Zhishui Hu
author: Tiejun Tong
published in: Metrika
publication date: 2021-06-28T00:00:00Z
Mathematics Subject Classification ID: 62H12
Mathematics Subject Classification ID: 62J10
zbMATH DE Number: 7364108
zbMATH Keywords: covariance matrices
zbMATH Keywords: joint estimation
zbMATH Keywords: optimal estimator
zbMATH Keywords: quadratic loss function
zbMATH Keywords: shrinkage parameter
zbMATH Keywords: Stein loss function
MaRDI profile type: Publication
full work available at URL: s00184-020-00781-3
OpenAlex ID: W3036335948
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DOI: 10.1007/S00184-020-00781-3
description: scientific article; zbMATH DE number 7364108