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stat.ME2020
Shrinking the eigenvalues of M-estimators of covariance matrix
Esa Ollila, Daniel P. Palomar, Frédéric Pascal
A highly popular regularized (shrinkage) covariance matrix estimator is the shrinkage sample covariance matrix (SCM) which shares the same set of eigenvectors as the SCM but shrink…
stat.ME2020
M-estimators of scatter with eigenvalue shrinkage
Esa Ollila, Daniel P. Palomar, Frederic Pascal
A popular regularized (shrinkage) covariance estimator is the shrinkage sample covariance matrix (SCM) which shares the same set of eigenvectors as the SCM but shrinks its eigenval…