Name
Abstract | ||
|---|---|---|
The paper proposes a cross-validated linear shrinkage estimation for population covariance matrices. Moreover we also propose a novel weighted estimator based on the thresholding and shrinkage methods for high dimensional datasets. It is applicable to a wider scope of different structures of covariance matrices. Some theoretical results about the cross-validated shrinkage method and weighted covariance estimation methods are also developed. The finite-sample performance of the proposed methods is illustrated through extensive simulations and real data analysis. |
Year | DOI | Venue |
|---|---|---|
2019 | 10.1016/j.csda.2019.04.017 | Computational Statistics & Data Analysis |
Keywords | Field | DocType |
Thresholding,Shrinkage,Adaptive thresholding,Weighted,Bridge function | Applied mathematics,Population,Estimation of covariance matrices,Shrinkage,Matrix (mathematics),Thresholding,Covariance matrix,Statistics,Mathematics,Covariance,Estimator | Journal |
Volume | ISSN | Citations |
139 | 0167-9473 | 0 |
PageRank | References | Authors |
0.34 | 0 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Guangren Yang | 1 | 0 | 1.69 |
| Liu Yiming | 2 | 73 | 16.37 |
| Guangming Pan | 3 | 1 | 1.04 |