Bodnar, Taras; Gupta, Arjun K.; Parolya, Nestor - arXiv.org - 2013
In this work we construct an optimal shrinkage estimator for the precision matrix in high dimensions. We consider the general asymptotics when the number of variables $p\rightarrow\infty$ and the sample size $n\rightarrow\infty$ so that $p/n\rightarrow c\in (0, +\infty)$. The precision matrix is...