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Shrinkage Estimators for Covariance Matrices

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  • Michael J. Daniels
  • Robert E. Kass

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  • Michael J. Daniels & Robert E. Kass, 2001. "Shrinkage Estimators for Covariance Matrices," Biometrics, The International Biometric Society, vol. 57(4), pages 1173-1184, December.
    • Handle: RePEc:bla:biomet:v:57:y:2001:i:4:p:1173-1184
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    File URL: http://hdl.handle.net/10.1111/j.0006-341X.2001.01173.x
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    References listed on IDEAS

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    1. Magnus, Jan R., 1978. "Maximum likelihood estimation of the GLS model with unknown parameters in the disturbance covariance matrix," Journal of Econometrics, Elsevier, vol. 7(3), pages 281-312, April.
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