Comparison of linear shrinkage estimators of a large covariance matrix in normal and non-normal distributions

Yuki Ikeda, Tatsuya Kubokawa, Muni S. Srivastava. Comparison of linear shrinkage estimators of a large covariance matrix in normal and non-normal distributions. Computational Statistics & Data Analysis, 95:95-108, 2016. [doi]

Authors

Yuki Ikeda

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Tatsuya Kubokawa

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Muni S. Srivastava

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