most citedShrinkage estimation of large covariance matrices using multiple shrinkage targets

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stat.ME2018★ 2 cited

Shrinkage estimation of large covariance matrices using multiple shrinkage targets

Harry Gray, Gwenaël G. R. Leday, Catalina A. Vallejos +1

Linear shrinkage estimators of a covariance matrix --- defined by a weighted average of the sample covariance matrix and a pre-specified shrinkage target matrix --- are popular whe…