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math.ST2014
Spectrum Estimation: A Unified Framework for Covariance Matrix Estimation and PCA in Large Dimensions
Olivier Ledoit, Michael Wolf
Covariance matrix estimation and principal component analysis (PCA) are two cornerstones of multivariate analysis. Classic textbook solutions perform poorly when the dimension of t…
math.ST2012★ 462 cited
Nonlinear shrinkage estimation of large-dimensional covariance matrices
Olivier Ledoit, Michael Wolf
Many statistical applications require an estimate of a covariance matrix and/or its inverse. When the matrix dimension is large compared to the sample size, which happens frequentl…