A Stein’s approach to covariance matrix estimation using regularization of Cholesky factor and log-Cholesky metric

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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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
Audience (journal):	International peer-reviewed journal
Uncontrolled Keywords:	Cholesky factor - Covariance matrix estimation - Regularization - Steins’s estimation
Institution:	Université de Toulouse > Institut Supérieur de l'Aéronautique et de l'Espace - ISAE-SUPAERO (FRANCE)
Laboratory name:	Département d'Electronique, Optronique et Signal - DEOS (Toulouse, France) Département d'Ingénierie des Systèmes Complexes - DISC (Toulouse, France)
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Deposited On:	26 Aug 2020 15:13

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