Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss
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Cited by:
- Ikeda, Yuki & Kubokawa, Tatsuya, 2016. "Linear shrinkage estimation of large covariance matrices using factor models," Journal of Multivariate Analysis, Elsevier, vol. 152(C), pages 61-81.
- Ruili Sun & Tiefeng Ma & Shuangzhe Liu & Milind Sathye, 2019. "Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review," JRFM, MDPI, vol. 12(1), pages 1-34, March.
- Nhat Minh Nguyen & Trung Duc Nguyen & Eleftherios I. Thalassinos & Hoang Anh Le, 2022. "The Performance of Shrinkage Estimator for Stock Portfolio Selection in Case of High Dimensionality," JRFM, MDPI, vol. 15(6), pages 1-12, June.
- Chételat, Didier & Wells, Martin T., 2016. "Improved second order estimation in the singular multivariate normal model," Journal of Multivariate Analysis, Elsevier, vol. 147(C), pages 1-19.
- Tatsuya Kubokawa & Akira Inoue, 2012. "Estimation of Covariance and Precision Matrices in High Dimension," CIRJE F-Series CIRJE-F-855, CIRJE, Faculty of Economics, University of Tokyo.
- Hisayuki Tsukuma & Tatsuya Kubokawa, 2014. "A Unified Approach to Estimating a Normal Mean Matrix in High and Low Dimensions," CIRJE F-Series CIRJE-F-926, CIRJE, Faculty of Economics, University of Tokyo.
- Hisayuki Tsukuma & Tatsuya Kubokawa, 2014. "Unified Improvements in Estimation of a Normal Covariance Matrix in High and Low Dimesions," CIRJE F-Series CIRJE-F-937, CIRJE, Faculty of Economics, University of Tokyo.
- Tsukuma, Hisayuki, 2016. "Estimation of a high-dimensional covariance matrix with the Stein loss," Journal of Multivariate Analysis, Elsevier, vol. 148(C), pages 1-17.
- Ikeda, Yuki & Kubokawa, Tatsuya & Srivastava, Muni S., 2016. "Comparison of linear shrinkage estimators of a large covariance matrix in normal and non-normal distributions," Computational Statistics & Data Analysis, Elsevier, vol. 95(C), pages 95-108.
- Yuki Ikeda & Tatsuya Kubokawa & Muni S. Srivastava, 2015. "Comparison of Linear Shrinkage Estimators of a Large Covariance Matrix in Normal and Non-normal Distributions," CIRJE F-Series CIRJE-F-970, CIRJE, Faculty of Economics, University of Tokyo.
- Besson, Olivier & Vincent, François & Gendre, Xavier, 2020. "A Stein’s approach to covariance matrix estimation using regularization of Cholesky factor and log-Cholesky metric," Statistics & Probability Letters, Elsevier, vol. 167(C).
- Fourdrinier, Dominique & Haddouche, Anis M. & Mezoued, Fatiha, 2021. "Covariance matrix estimation under data-based loss," Statistics & Probability Letters, Elsevier, vol. 177(C).
- Tsukuma, Hisayuki & Kubokawa, Tatsuya, 2016. "Unified improvements in estimation of a normal covariance matrix in high and low dimensions," Journal of Multivariate Analysis, Elsevier, vol. 143(C), pages 233-248.
- Fourdrinier, Dominique & Mezoued, Fatiha & Wells, Martin T., 2016. "Estimation of the inverse scatter matrix of an elliptically symmetric distribution," Journal of Multivariate Analysis, Elsevier, vol. 143(C), pages 32-55.
- Tsukuma, Hisayuki & Kubokawa, Tatsuya, 2015. "A unified approach to estimating a normal mean matrix in high and low dimensions," Journal of Multivariate Analysis, Elsevier, vol. 139(C), pages 312-328.
- Haddouche, Anis M. & Fourdrinier, Dominique & Mezoued, Fatiha, 2021. "Scale matrix estimation of an elliptically symmetric distribution in high and low dimensions," Journal of Multivariate Analysis, Elsevier, vol. 181(C).
- Piotr Graczyk & Hideyuki Ishi & Salha Mamane, 2019. "Wishart exponential families on cones related to tridiagonal matrices," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(2), pages 439-471, April.
- Tatsuya Kubokawa & Muni S. Srivastava, 2013. "Optimal Ridge-type Estimators of Covariance Matrix in High Dimension," CIRJE F-Series CIRJE-F-906, CIRJE, Faculty of Economics, University of Tokyo.
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Keywords
Unbiased estimate of risk Integration by parts formula Singular Wishart distributions Stein-Haff identity Calculus on eigenstructures;Statistics
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