Lin, Lijing; Higham, Nicholas J.; Pan, Jianxin - In: Computational Statistics & Data Analysis 72 (2014) C, pp. 315-327
The need to estimate structured covariance matrices arises in a variety of applications and the problem is widely studied in statistics. A new method is proposed for regularizing the covariance structure of a given covariance matrix whose underlying structure has been blurred by random noise,...