A well-conditioned estimator for large-dimensional covariance matrices
نویسندگان
چکیده
منابع مشابه
A well-conditioned estimator for large-dimensional covariance matrices
Many applied problems require a covariance matrix estimator that is not only invertible, but also well-conditioned (that is, inverting it does not amplify estimation error). For largedimensional covariance matrices, the usual estimator—the sample covariance matrix—is typically not well-conditioned and may not even be invertible. This paper introduces an estimator that is both well-conditioned a...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2004
ISSN: 0047-259X
DOI: 10.1016/s0047-259x(03)00096-4