This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle Approximating Shrinkage (OAS) of Chen et al. (2009) to target the diagonal elements of ...
Graphical models provide a robust framework for representing the conditional independence structure between variables through networks, enabling nuanced insight into complex high-dimensional data.
The distribution of the latent roots of the sample covariance matrix is studied when the parent population is nonnormal. Asymptotic expansions of the marginal and joint distributions of the sample ...
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