Estimation of Large Covariance Matrices by Shrinking to Structured Target in Normal and Non-Normal Distributions
This paper addresses the estimation of large-dimensional covariance matrices under both normal and nonnormal distributions. The shrinkage estimators are constructed by convexly combining the sample covariance matrix and a structured target matrix. The optimal oracle shrinkage intensity is obtained a...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
IEEE
2018-01-01
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| Series: | IEEE Access |
| Subjects: | |
| Online Access: | https://ieeexplore.ieee.org/document/8186149/ |