most citedAn Orthogonally Equivariant Estimator of the Covariance Matrix in High Dimensions and for Small Sample Sizes

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math.ST2017★ 2 cited

An Orthogonally Equivariant Estimator of the Covariance Matrix in High Dimensions and for Small Sample Sizes

Samprit Banerjee, Stefano Monni

We introduce an estimation method of covariance matrices in a high-dimensional setting, i.e., when the dimension of the matrix, , is larger than the sample size . Specifically, we…