2 citations · 3 across the 6 of their papers we have counts for
Showing stat.MEShow all
2 papers · 1 filter
stat.ME2022
Projection inference for high-dimensional covariance matrices with structured shrinkage targets
Fabian Mies, Ansgar Steland
Analyzing large samples of high-dimensional data under dependence is a challenging statistical problem as long time series may have change points, most importantly in the mean and…
stat.ME2018
Shrinkage for Covariance Estimation: Asymptotics, Confidence Intervals, Bounds and Applications in Sensor Monitoring and Finance
Ansgar Steland
When shrinking a covariance matrix towards (a multiple) of the identity matrix, the trace of the covariance matrix arises naturally as the optimal scaling factor for the identity t…