Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage
نویسندگان
چکیده
منابع مشابه
Comparison of linear shrinkage estimators of a large covariance matrix in normal and non-normal distributions
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2019
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2018.12.002