Weighted covariance matrix estimation

• المؤلفون الرئيسيون: Yang, Guangren, Liu, Yiming, Pan, Guangming
• مؤلفون آخرون: School of Physical and Mathematical Sciences
• التنسيق: مقال
• اللغة: English
• منشور في: 2020
• الموضوعات: Science::Mathematics; Thresholding; Shrinkage
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/144459
• المؤسسة: 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 covariance matrices. Some theoretical results about the cross-validated shrinkage method and weighted covariance estimation methods are also developed. The finite-sample performance of the proposed methods is illustrated through extensive simulations and real data analysis.