On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix.
Taras BodnarArjun K. GuptaNestor ParolyaPublished in: J. Multivar. Anal. (2014)
Keyphrases
- covariance matrix
- optimal linear
- estimation error
- covariance matrices
- sample size
- maximum likelihood
- principal component analysis
- least squares
- multivariate gaussian
- reconstruction error
- convergence rate
- objective function
- denoising
- correlation matrix
- geometrical interpretation
- eigenvalues and eigenvectors
- maximum a posteriori
- convergence speed
- signal processing
- higher order
- multiscale
- feature selection