Estimation of Large Covariance Matrices by Shrinking to Structured Target in Normal and Non-Normal Distributions
نویسندگان
چکیده
منابع مشابه
Comparison of linear shrinkage estimators of a large covariance matrix in normal and non-normal distributions
The problem of estimating the large covariance matrix of both normal and nonnormal distributions is addressed. In convex combinations of the sample covariance matrix and the identity matrix multiplied by a scalor statistic, we suggest a new estimator of the optimal weight based on exact or approximately unbiased estimators of the numerator and denominator of the optimal weight in non-normal cas...
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ژورنال
عنوان ژورنال: IEEE Access
سال: 2018
ISSN: 2169-3536
DOI: 10.1109/access.2017.2782208