Shrinkage-to-Tapering Estimation of Large Covariance Matrices

Xiaohui Chen, Z. Jane Wang, Martin J. McKeown. Shrinkage-to-Tapering Estimation of Large Covariance Matrices. IEEE Transactions on Signal Processing, 60(11):5640-5656, 2012. [doi]

Authors

Xiaohui Chen

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Z. Jane Wang

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Martin J. McKeown

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