Besson, Olivier
and Vincent, François and Gendre, Xavier
A Stein’s approach to covariance matrix estimation using regularization of Cholesky factor and log-Cholesky metric.
(2020)
Statistics & Probability Letters, 167. 1-9. ISSN 0167-7152
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(Document in English)
PDF (Author's version) - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader 798kB |
Official URL: https://doi.org/10.1016/j.spl.2020.108893
Abstract
We consider a Stein's approach to estimate a covariance matrix using regularization of the sample covariance matrix Cholesky factor. We propose a method to estimate accurately the regularization vector which minimizes the risk associated with the recently introduced log-Cholesky metric.
| Item Type: | Article |
|---|---|
| HAL Id: | hal-02923042 |
| Audience (journal): | International peer-reviewed journal |
| Uncontrolled Keywords: | |
| Institution: | Université de Toulouse > Institut Supérieur de l'Aéronautique et de l'Espace - ISAE-SUPAERO (FRANCE) |
| Laboratory name: | |
| Statistics: | download |
| Deposited On: | 26 Aug 2020 15:13 |
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