An orthogonally equivariant estimator of the covariance...

An orthogonally equivariant estimator of the covariance matrix in high dimensions and for small sample sizes

Banerjee, Samprit, Monni, Stefano
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Volume:
213
Journal:
Journal of Statistical Planning and Inference
DOI:
10.1016/j.jspi.2020.10.006
Date:
July, 2021
File:
PDF, 635 KB
2021
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