Robust shrinkage estimation of high-dimensional covariance matrices

Keyphrases

• Closed-form Expression 50%
• Covariance 50%
• Distribution-free 50%
• Elliptical Distribution 50%
• Estimation Error 50%
• Fixed-point Iteration 50%
• High-dimensional Covariance Estimation 50%
• High-dimensional Covariance Matrix 100%
• High-dimensional Problems 50%
• Large p Small n 50%
• Minimum Mean Square Error 50%
• Plug-in Estimator 50%
• Robust Covariance Estimator 50%
• Shrinkage Coefficient 100%
• Shrinkage Estimator 100%
• Shrinkage Methods 50%
• Small Size Sample 50%

Mathematics

• Approximates 33%
• Closed Form 66%
• Covariance 100%
• Covariance Matrix 100%
• Dimensional Problem 33%
• Elliptical Distribution 33%
• Fixed Point Iteration 33%
• Squared Error 33%