Xiaohui Chen, Z. Jane Wang, Martin J. McKeown. Large covariance matrix estimation: Bridging shrinkage and tapering approaches. In 2012 IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2012, Kyoto, Japan, March 25-30, 2012. pages 2013-2016, IEEE, 2012. [doi]
Abstract is missing.