A Stein’s approach to covariance matrix estimation using regularization of Cholesky factor and log-Cholesky metric

Olivier Besson, François Vincent and Xavier Gendre

Statistics & Probability Letters, 2020, vol. 167, issue C

Abstract: We consider a Stein’s approach to estimate a covariance matrix using regularization of the sample covariance matrix Cholesky factor. We propose a method to estimate accurately the regularization vector which minimizes the risk associated with the recently introduced log-Cholesky metric.

Keywords: Cholesky factor; Covariance matrix estimation; Regularization; Steins’s estimation (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2020.108893

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