Shrinkage Covariance Matrix Estimators
Shrinkage Covariance Matrix Estimators
Shrinking the Sample Covariance Matrix Towards a Sphericity Matrix
Shrinking the Sample Covariance Matrix Towards the Identity Matrix
Shrinking the Sample Covariance Matrix Towards a Diagonal Matrix with ...
Target Matrix Selection
Provides nonparametric Steinian shrinkage estimators of the covariance matrix that are suitable in high dimensional settings, that is when the number of variables is larger than the sample size.
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