Estimation of Large-Dimensional Covariance Matrices via Second-Order Stein-Type Regularization
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DOI: 10.3390/e25010053
Abstract: This paper tackles the problem of estimating the covariance matrix in large-dimension and small-sample-size scenarios. Inspired by the well-known linear shrinkage estimation, we propose a novel second-order Stein-type regularization strategy to generate well-conditioned covariance matrix… read more here.
Keywords: second order; order stein; covariance; stein type ... See more keywords