Estimation of Large-Dimensional Covariance Matrices via Second-Order Stein-Type Regularization

This paper tackles the problem of estimating the covariance matrix in large-dimension and small-sample-size scenarios. Inspired by the well-known linear shrinkage estimation, we propose a novel second-order Stein-type regularization strategy to generate well-conditioned covariance matrix estimators....

Full description

Bibliographic Details

Published in:	Entropy
Main Authors:	Bin Zhang, Hengzhen Huang, Jianbin Chen
Format:	Article
Language:	English
Published:	MDPI AG 2022-12-01
Subjects:	covariance matrix estimation Stein-type regularization unbiased estimate
Online Access:	https://www.mdpi.com/1099-4300/25/1/53