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Search: subject:"Stein's loss"
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Stein's loss
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nonlinear shrinkage estimation
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1
Optimal estimation of a large-dimensional covariance matrix under
Stein
's
loss
Ledoit, Olivier
;
Wolf, Michael
-
2017
apply this method to
Stein
's
loss
. Compared to the estimator of Stein (1975, 1986), ours has five theoretical advantages: (1 …
Persistent link: https://www.econbiz.de/10011663161
Saved in:
2
Optimal estimation of a large-dimensional covariance matrix under
Stein
's
loss
Ledoit, Olivier
;
Wolf, Michael
-
2017
-
Revised version, March 2017
apply this method to
Stein
's
loss
. Compared to the estimator of Stein (1975, 1986), ours has five theoretical advantages: (1 …
Persistent link: https://www.econbiz.de/10011630780
Saved in:
3
Optimal estimation of a large-dimensional covariance matrix under
Stein
's
loss
Ledoit, Olivier
;
Wolf, Michael
-
2013
their ratio converging to a finite, nonzero limit. As the main focus, we apply this method to
Stein
's
loss
. Compared to the …
Persistent link: https://www.econbiz.de/10010332044
Saved in:
4
Optimal estimation of a large-dimensional covariance matrix under
Stein
's
loss
Ledoit, Olivier
;
Wolf, Michael
-
2013
This paper revisits the methodology of Stein (1975, 1986) for estimating a covariance matrix in the setting where the number of variables can be of the same magnitude as the sample size. Stein proposed to keep the eigenvectors of the sample covariance matrix but to shrink the eigenvalues. By...
Persistent link: https://www.econbiz.de/10010316932
Saved in:
5
Optimal estimation of a large-dimensional covariance matrix under
Stein
's
loss
Ledoit, Olivier
;
Wolf, Michael
-
2013
This paper revisits the methodology of Stein (1975, 1986) for estimating a covariance matrix in the setting where the number of variables can be of the same magnitude as the sample size. Stein proposed to keep the eigenvectors of the sample covariance matrix but to shrink the eigenvalues. By...
Persistent link: https://www.econbiz.de/10009748767
Saved in:
6
James–Stein type estimators of variances
Tong, Tiejun
;
Jang, Homin
;
Wang, Yuedong
- In:
Journal of Multivariate Analysis
107
(
2012
)
C
,
pp. 232-243
the squared and the
Stein
loss
functions. Asymptotic properties are investigated under two schemes when either the number …
Persistent link: https://www.econbiz.de/10010576497
Saved in:
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