Shrinkage Algorithms for MMSE Covariance Estimation
نویسندگان
چکیده
منابع مشابه
On a Class of Shrinkage Priors for Covariance Matrix Estimation
We propose a flexible class of models based on scale mixture of uniform distributions to construct shrinkage priors for covariance matrix estimation. This new class of priors enjoys a number of advantages over the traditional scale mixture of normal priors, including its simplicity and flexibility in characterizing the prior density. We also exhibit a simple, easy to implement Gibbs sampler for...
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ژورنال
عنوان ژورنال: IEEE Transactions on Signal Processing
سال: 2010
ISSN: 1053-587X,1941-0476
DOI: 10.1109/tsp.2010.2053029