On the property of multivariate generalized hyperbolic distribution and the Stein-type inequality
Sign Up to like & getrecommendations! Published in 2018 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2017.1390134
Abstract: ABSTRACT This note consists of two parts . In the first part, we provide a pedagogic review on the multivariate generalized hyperbolic (MGH) distribution. We show that this probability family is close under margining, conditioning,… read more here.
Keywords: multivariate generalized; type inequality; stein type; generalized hyperbolic ... See more keywords
Estimation of Large-Dimensional Covariance Matrices via Second-Order Stein-Type Regularization
Sign Up to like & getrecommendations! Published in 2022 at "Entropy"
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