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Shrinkage Estimators for Covariance Matrices

Citations

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Cited by:

  1. Hannart, Alexis & Naveau, Philippe, 2014. "Estimating high dimensional covariance matrices: A new look at the Gaussian conjugate framework," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 149-162.
  2. Carel F. W. Peeters & Mark A. Wiel & Wessel N. Wieringen, 2020. "The spectral condition number plot for regularization parameter evaluation," Computational Statistics, Springer, vol. 35(2), pages 629-646, June.
  3. repec:hum:wpaper:sfb649dp2011-059 is not listed on IDEAS
  4. Daniels, Michael J., 2006. "Bayesian modeling of several covariance matrices and some results on propriety of the posterior for linear regression with correlated and/or heterogeneous errors," Journal of Multivariate Analysis, Elsevier, vol. 97(5), pages 1185-1207, May.
  5. Jie Yang & Rongling Wu & George Casella, 2009. "Nonparametric Functional Mapping of Quantitative Trait Loci," Biometrics, The International Biometric Society, vol. 65(1), pages 30-39, March.
  6. Anatolyev, Stanislav & Pyrlik, Vladimir, 2022. "Copula shrinkage and portfolio allocation in ultra-high dimensions," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
  7. D. Gunzler & W. Tang & N. Lu & P. Wu & X. Tu, 2014. "A Class of Distribution-Free Models for Longitudinal Mediation Analysis," Psychometrika, Springer;The Psychometric Society, vol. 79(4), pages 543-568, October.
  8. Matthew J. Heaton & Stephan R. Sain & Andrew J. Monaghan & Olga V. Wilhelmi & Mary H. Hayden, 2015. "An Analysis of an Incomplete Marked Point Pattern of Heat-Related 911 Calls," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(509), pages 123-135, March.
  9. Joseph G. Ibrahim & Hongtu Zhu & Ramon I. Garcia & Ruixin Guo, 2011. "Fixed and Random Effects Selection in Mixed Effects Models," Biometrics, The International Biometric Society, vol. 67(2), pages 495-503, June.
  10. Caicedo-Llano, Juliana & Dionysopoulos, Thomas, 2008. "Market integration: A risk-budgeting guide for pure alpha investors," Journal of Multinational Financial Management, Elsevier, vol. 18(4), pages 313-327, October.
  11. David I. Warton, 2011. "Regularized Sandwich Estimators for Analysis of High-Dimensional Data Using Generalized Estimating Equations," Biometrics, The International Biometric Society, vol. 67(1), pages 116-123, March.
  12. Brett Naul & Bala Rajaratnam & Dario Vincenzi, 2016. "The role of the isotonizing algorithm in Stein’s covariance matrix estimator," Computational Statistics, Springer, vol. 31(4), pages 1453-1476, December.
  13. Wei Jiang & Ling Chen & Matthew J. Girgenti & Hongyu Zhao, 2024. "Tuning parameters for polygenic risk score methods using GWAS summary statistics from training data," Nature Communications, Nature, vol. 15(1), pages 1-15, December.
  14. Berger, James O. & Sun, Dongchu & Song, Chengyuan, 2020. "An objective prior for hyperparameters in normal hierarchical models," Journal of Multivariate Analysis, Elsevier, vol. 178(C).
  15. Hahn, Lukas, 2017. "Multi-year non-life insurance risk of dependent lines of business in the multivariate additive loss reserving model," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 71-81.
  16. Monika Bours & Ansgar Steland, 2021. "Large‐sample approximations and change testing for high‐dimensional covariance matrices of multivariate linear time series and factor models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(2), pages 610-654, June.
  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.
  18. Hautsch, Nikolaus & Kyj, Lada M. & Malec, Peter, 2011. "The merit of high-frequency data in portfolio allocation," SFB 649 Discussion Papers 2011-059, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  19. Marot, Guillemette & Foulley, Jean-Louis & Jaffrzic, Florence, 2009. "A structural mixed model to shrink covariance matrices for time-course differential gene expression studies," Computational Statistics & Data Analysis, Elsevier, vol. 53(5), pages 1630-1638, March.
  20. Jesse D. Raffa & Elizabeth A. Thompson, 2016. "Power and Effective Study Size in Heritability Studies," Statistics in Biosciences, Springer;International Chinese Statistical Association, vol. 8(2), pages 264-283, October.
  21. Champion, Colin J., 2003. "Empirical Bayesian estimation of normal variances and covariances," Journal of Multivariate Analysis, Elsevier, vol. 87(1), pages 60-79, October.
  22. Wang, Y. & Daniels, M.J., 2013. "Bayesian modeling of the dependence in longitudinal data via partial autocorrelations and marginal variances," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 130-140.
  23. Stanislav Anatolyev & Vladimir Pyrlik, 2021. "Shrinkage for Gaussian and t Copulas in Ultra-High Dimensions," CERGE-EI Working Papers wp699, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  24. van Wieringen, Wessel N. & Peeters, Carel F.W., 2016. "Ridge estimation of inverse covariance matrices from high-dimensional data," Computational Statistics & Data Analysis, Elsevier, vol. 103(C), pages 284-303.
  25. Andrew Gelman, 2004. "Prior distributions for variance parameters in hierarchical models," EERI Research Paper Series EERI_RP_2004_06, Economics and Econometrics Research Institute (EERI), Brussels.
  26. Pritularga, Kandrika F. & Svetunkov, Ivan & Kourentzes, Nikolaos, 2023. "Shrinkage estimator for exponential smoothing models," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1351-1365.
  27. Bailey, Natalia & Pesaran, M. Hashem & Smith, L. Vanessa, 2019. "A multiple testing approach to the regularisation of large sample correlation matrices," Journal of Econometrics, Elsevier, vol. 208(2), pages 507-534.
  28. Wen, Jun, 2018. "Estimation of two high-dimensional covariance matrices and the spectrum of their ratio," Journal of Multivariate Analysis, Elsevier, vol. 168(C), pages 1-29.
  29. Joong-Ho Won & Johan Lim & Seung-Jean Kim & Bala Rajaratnam, 2013. "Condition-number-regularized covariance estimation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(3), pages 427-450, June.
  30. Chi, Eric C. & Lange, Kenneth, 2014. "Stable estimation of a covariance matrix guided by nuclear norm penalties," Computational Statistics & Data Analysis, Elsevier, vol. 80(C), pages 117-128.
  31. Brechmann, Eike C. & Joe, Harry, 2014. "Parsimonious parameterization of correlation matrices using truncated vines and factor analysis," Computational Statistics & Data Analysis, Elsevier, vol. 77(C), pages 233-251.
  32. Konno, Yoshihiko, 2009. "Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2237-2253, November.
  33. Gillen, Benjamin J., 2014. "An empirical Bayesian approach to stein-optimal covariance matrix estimation," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 402-420.
  34. Miao-Yu Tsai & Chuhsing Hsiao, 2008. "Computation of reference Bayesian inference for variance components in longitudinal studies," Computational Statistics, Springer, vol. 23(4), pages 587-604, October.
  35. Lam, Clifford, 2020. "High-dimensional covariance matrix estimation," LSE Research Online Documents on Economics 101667, London School of Economics and Political Science, LSE Library.
  36. M. Pourahmadi & M. J. Daniels, 2002. "Dynamic Conditionally Linear Mixed Models for Longitudinal Data," Biometrics, The International Biometric Society, vol. 58(1), pages 225-231, March.
  37. 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.
  38. Jushan Bai & Shuzhong Shi, 2011. "Estimating High Dimensional Covariance Matrices and its Applications," Annals of Economics and Finance, Society for AEF, vol. 12(2), pages 199-215, November.
  39. Andrew Gelman, 2004. "Prior distributions for variance parameters in hierarchical models," Econometrics 0404001, University Library of Munich, Germany.
  40. T Sei & F Komaki, 2022. "A correlation-shrinkage prior for Bayesian prediction of the two-dimensional Wishart model [Modeling covariance matrices in terms of standard deviations and correlations, with application to shrink," Biometrika, Biometrika Trust, vol. 109(4), pages 1173-1180.
  41. Vaughn Gambeta & Roy Kwon, 2020. "Risk Return Trade-Off in Relaxed Risk Parity Portfolio Optimization," JRFM, MDPI, vol. 13(10), pages 1-28, October.
  42. Liusha Yang & Matthew R. Mckay & Romain Couillet, 2018. "High-Dimensional MVDR Beamforming: Optimized Solutions Based on Spiked Random Matrix Models," Post-Print hal-01957672, HAL.
  43. Daniels, M.J. & Pourahmadi, M., 2009. "Modeling covariance matrices via partial autocorrelations," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2352-2363, November.
  44. Kwon, Yongchan & Choi, Young-Geun & Park, Taesung & Ziegler, Andreas & Paik, Myunghee Cho, 2017. "Generalized estimating equations with stabilized working correlation structure," Computational Statistics & Data Analysis, Elsevier, vol. 106(C), pages 1-11.
  45. 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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