113 citations · 569 across the 28 of their papers we have counts for
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math.ST2013★ 49 cited
On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix
Taras Bodnar, Arjun K. Gupta, Nestor Parolya
In this work we construct an optimal linear shrinkage estimator for the covariance matrix in high dimensions. The recent results from the random matrix theory allow us to find the…
math.ST2013★ 63 cited
Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix
Taras Bodnar, Arjun K. Gupta, Nestor Parolya
In this work we construct an optimal shrinkage estimator for the precision matrix in high dimensions. We consider the general asymptotics when the number of variables $p\rightarrow…