Sample covariance shrinkage for high dimensional dependent data
نویسندگان
چکیده
منابع مشابه
Shrinkage Estimators for High-Dimensional Covariance Matrices
As high-dimensional data becomes ubiquitous, standard estimators of the population covariance matrix become difficult to use. Specifically, in the case where the number of samples is small (large p small n) the sample covariance matrix is not positive definite. In this paper we explore some recent estimators of sample covariance matrices in the large p, small n setting namely, shrinkage estimat...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2008
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2007.06.004