Optimal Shrinkage Covariance Matrix Estimation Under Random Sampling From Elliptical Distributions

IEEE Transactions on Signal Processing ◽

10.1109/tsp.2019.2908144 ◽

2019 ◽

Vol 67 (10) ◽

pp. 2707-2719 ◽

Author(s):

Esa Ollila ◽

Elias Raninen

Keyword(s):

Covariance Matrix ◽

Random Sampling ◽

Covariance Matrix Estimation ◽

Elliptical Distributions ◽

Matrix Estimation

Download Full-text

Intrinsic covariance matrix estimation for multivariate elliptical distributions

Statistics & Probability Letters ◽

10.1016/j.spl.2020.108774 ◽

2020 ◽

Vol 162 ◽

pp. 108774

Author(s):

Junhao Guo ◽

Jie Zhou ◽

Sanfeng Hu

Keyword(s):

Covariance Matrix ◽

Covariance Matrix Estimation ◽

Elliptical Distributions ◽

Matrix Estimation

Download Full-text

Faculty Opinions recommendation of A shrinkage approach to large-scale covariance matrix estimation and implications for functional genomics.

Faculty Opinions – Post-Publication Peer Review of the Biomedical Literature ◽

10.3410/f.718350670.793493808 ◽

2014 ◽

Author(s):

Zdeněk Valenta

Keyword(s):

Functional Genomics ◽

Covariance Matrix ◽

Large Scale ◽

Covariance Matrix Estimation ◽

Matrix Estimation ◽

Scale Covariance

Download Full-text

High-Frequency Covariance Matrix Estimation Using Price Durations

SSRN Electronic Journal ◽

10.2139/ssrn.3162514 ◽

2018 ◽

Author(s):

Xiaolu Zhao ◽

Ingmar Nolte ◽

Stephen J. Taylor

Keyword(s):

Covariance Matrix ◽

High Frequency ◽

Covariance Matrix Estimation ◽

Matrix Estimation

Download Full-text

Bayesian Covariance Matrix Estimation Using a Mixture of Decomposable Graphical Models

SSRN Electronic Journal ◽

10.2139/ssrn.966635 ◽

2005 ◽

Author(s):

Helen Jean Armstrong ◽

Christopher K. Carter ◽

Kevin Wong ◽

Robert Kohn

Keyword(s):

Covariance Matrix ◽

Graphical Models ◽

Covariance Matrix Estimation ◽

Matrix Estimation ◽

Decomposable Graphical Models

Download Full-text

Weighted Spatial Covariance Matrix Estimation for MUSIC Based TDOA Estimation of Speech Source

10.21437/interspeech.2017-199 ◽

2017 ◽

Author(s):

Chenglin Xu ◽

Xiong Xiao ◽

Sining Sun ◽

Wei Rao ◽

Eng Siong Chng ◽

...

Keyword(s):

Covariance Matrix ◽

Covariance Matrix Estimation ◽

Spatial Covariance ◽

Matrix Estimation

Download Full-text

Band-Inverse TVAR Covariance Matrix Estimation for Adaptive Detection

IEEE Transactions on Aerospace and Electronic Systems ◽

10.1109/taes.2010.5417169 ◽

2010 ◽

Vol 46 (1) ◽

pp. 375-396 ◽

Author(s):

Yuri I. Abramovich ◽

Nicholas K. Spencer ◽

Ben A. Johnson

Keyword(s):

Covariance Matrix ◽

Covariance Matrix Estimation ◽

Adaptive Detection ◽

Matrix Estimation

Download Full-text

Robust Covariance Matrix Estimation and Identification of Unusual Data Points: New Tools

Research in Economics ◽

10.1016/j.rie.2021.03.001 ◽

2021 ◽

Author(s):

Christian Garciga ◽

Randal Verbrugge

Keyword(s):

Covariance Matrix ◽

Covariance Matrix Estimation ◽

Matrix Estimation ◽

Download Full-text

Sparse and Low-Rank Covariance Matrix Estimation

Journal of the Operations Research Society of China ◽

10.1007/s40305-014-0058-7 ◽

2014 ◽

Vol 3 (2) ◽

pp. 231-250 ◽

Author(s):

Sheng-Long Zhou ◽

Nai-Hua Xiu ◽

Zi-Yan Luo ◽

Ling-Chen Kong

Keyword(s):

Covariance Matrix ◽

Low Rank ◽

Covariance Matrix Estimation ◽

Matrix Estimation

Download Full-text

Adaptive Thresholding for Sparse Covariance Matrix Estimation

Journal of the American Statistical Association ◽

10.1198/jasa.2011.tm10560 ◽

2011 ◽

Vol 106 (494) ◽

pp. 672-684 ◽

Author(s):

Tony Cai ◽

Weidong Liu

Keyword(s):

Covariance Matrix ◽

Adaptive Thresholding ◽

Covariance Matrix Estimation ◽

Matrix Estimation

Download Full-text

Impact of Sea Clutter Nonstationarity on Disturbance Covariance Matrix Estimation and CFAR Detector Performance

IEEE Transactions on Aerospace and Electronic Systems ◽

10.1109/taes.2010.5545205 ◽

2010 ◽

Vol 46 (3) ◽

pp. 1502-1513 ◽

Author(s):

Maria Greco ◽

Pietro Stinco ◽

Fulvio Gini ◽

Muralidhar Rangaswamy

Keyword(s):

Covariance Matrix ◽

Covariance Matrix Estimation ◽

Sea Clutter ◽

Detector Performance ◽

Matrix Estimation

Download Full-text