Nonparametric Stein-type shrinkage covariance matrix estimators in high-dimensional settings

Anestis Touloumis

doi:10.1016/j.csda.2014.10.018

Nonparametric Stein-type shrinkage covariance matrix estimators in high-dimensional settings

University of Brighton

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	251-261
Number of pages	11
Journal	Computational Statistics & Data Analysis
Volume	83
DOIs	https://doi.org/10.1016/j.csda.2014.10.018
Publication status	Published - 23 Oct 2014

Bibliographical note

Keywords

Covariance matrix
High-dimensional settings
Nonparametric estimation
Shrinkage estimation

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10.1016/j.csda.2014.10.018Licence: Unspecified

Nonparametric Stein-type Shrinkage Covariance Matrix Estimators in High-Dimensional Settings.pdfAccepted author manuscript, 372 KBLicence: CC BY-NC-ND

Anestis Touloumis
- A.Touloumisbrighton.acuk
- School of Arch, Tech and Eng - Principal Lecturer
- Computing and Mathematical Sciences Research Excellence Group
Person: Academic

Cite this

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title = "Nonparametric Stein-type shrinkage covariance matrix estimators in high-dimensional settings",

keywords = "Covariance matrix, High-dimensional settings, Nonparametric estimation, Shrinkage estimation",

author = "Anestis Touloumis",

note = "{\textcopyright} 2015. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/",

year = "2014",

month = oct,

day = "23",

doi = "10.1016/j.csda.2014.10.018",

language = "English",

volume = "83",

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journal = "Computational Statistics & Data Analysis",

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T1 - Nonparametric Stein-type shrinkage covariance matrix estimators in high-dimensional settings

AU - Touloumis, Anestis

PY - 2014/10/23

Y1 - 2014/10/23

KW - Covariance matrix

KW - High-dimensional settings

KW - Nonparametric estimation

KW - Shrinkage estimation

U2 - 10.1016/j.csda.2014.10.018

DO - 10.1016/j.csda.2014.10.018

M3 - Article

SN - 0167-9473

VL - 83

SP - 251

EP - 261

JO - Computational Statistics & Data Analysis

JF - Computational Statistics & Data Analysis

ER -

Nonparametric Stein-type shrinkage covariance matrix estimators in high-dimensional settings

Bibliographical note

Keywords

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Anestis Touloumis

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