most citedGeometric sensitivity of random matrix results: consequences for shrinkage estimators of covariance and related statistical methods

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math.ST2011★ 21 cited

Geometric sensitivity of random matrix results: consequences for shrinkage estimators of covariance and related statistical methods

Noureddine El Karoui, Holger Koesters

Shrinkage estimators of covariance are an important tool in modern applied and theoretical statistics. They play a key role in regularized estimation problems, such as ridge regres…