Estimation of Large-Dimensional Covariance Matrices via Second-Order Stein-Type Regularization - Zhang, Bin; Huang, Hengzhen; Chen, Jianbin (Entropy (Basel, Switzerland), 2022)
Keywords: Convexity; Covariance matrix; covariance matrix estimation; Data analysis; Eigenvalues; Eigenvectors; Estimation; Estimators; Mathematical analysis; Mathematical models; Normal distribution; Optimization; Polynomials; Regularization; Stein-type regularization; unbiased estimate; Stein-type regularization; unbiased estimate; covariance matrix estimation