3 citations · 3 across the 1 of their papers we have counts for
3 papers
math.ST2021★ 3 cited
On the variability of the sample covariance matrix under complex elliptical distributions
Elias Raninen, Esa Ollila, David E. Tyler
We derive the form of the variance-covariance matrix for any affine equivariant matrix-valued statistics when sampling from complex elliptical distributions. We then use this resul…
stat.ME2020
Coupled regularized sample covariance matrix estimator for multiple classes
Elias Raninen, Esa Ollila
The estimation of covariance matrices of multiple classes with limited training data is a difficult problem. The sample covariance matrix (SCM) is known to perform poorly when the…
stat.ME2018
Optimal shrinkage covariance matrix estimation under random sampling from elliptical distributions
Esa Ollila, Elias Raninen
This paper considers the problem of estimating a high-dimensional (HD) covariance matrix when the sample size is smaller, or not much larger, than the dimensionality of the data, w…