Unbiased risk estimation method for covariance estimation
نویسندگان
چکیده
منابع مشابه
Unbiased estimation of risk
The estimation of risk measured in terms of a risk measure is typically done in two steps: in the first step, the distribution is estimated by statistical methods, either parametric or nonparametric. In the second step, the estimated distribution is considered as true distribution and the targeted risk-measure is computed. In the parametric case this is achieved by using the formula for the ris...
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ژورنال
عنوان ژورنال: ESAIM: Probability and Statistics
سال: 2014
ISSN: 1292-8100,1262-3318
DOI: 10.1051/ps/2013034