Weighted covariance matrix estimation

• Main Authors: Yang, Guangren, Liu, Yiming, Pan, Guangming
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2020
• Subjects: Science::Mathematics; Thresholding; Shrinkage
• Online Access: https://hdl.handle.net/10356/144459
• Institution: Nanyang Technological University

The paper proposes a cross-validated linear shrinkage estimation for population covariance matrices. Moreover we also propose a novel weighted estimator based on the thresholding and shrinkage methods for high dimensional datasets. It is applicable to a wider scope of different structures of covaria...