Weighted covariance matrix estimation

Guangren Yang, Yiming Liu and Guangming Pan

Computational Statistics & Data Analysis, 2019, vol. 139, issue C, 82-98

Abstract: The paper proposes a cross-validated linear shrinkage estimation for population covariance matrices. Moreover we also propose a novel weighted estimator based on the thresholding and shrinkage methods for high dimensional datasets. It is applicable to a wider scope of different structures of covariance matrices. Some theoretical results about the cross-validated shrinkage method and weighted covariance estimation methods are also developed. The finite-sample performance of the proposed methods is illustrated through extensive simulations and real data analysis.

Keywords: Thresholding; Shrinkage; Adaptive thresholding; Weighted; Bridge function (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:139:y:2019:i:c:p:82-98

DOI: 10.1016/j.csda.2019.04.017

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