most citedEigenvector distributions and optimal shrinkage estimators for large covariance and precision matrices

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math.ST2024

Estimation of the Adjusted Standard-deviatile for Extreme Risks

Haoyu Chen, Tiantian Mao, Fan Yang

In this paper, we modify the Bayes risk for the expectile, the so-called variantile risk measure, to better capture extreme risks. The modified risk measure is called the adjusted…

math.ST2024★ 2 cited

Eigenvector distributions and optimal shrinkage estimators for large covariance and precision matrices

Xiucai Ding, Yun Li, Fan Yang

This paper focuses on investigating Stein's invariant shrinkage estimators for large sample covariance matrices and precision matrices in high-dimensional settings. We consider mod…