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Multivariate Empirical Bayes and Estimation of Covariance Matrices
The Annals of Statistics, 1976 The problem of estimating several normal mean vectors in an empirical Bayes situation is considered. In this case, it reduces to the problem of estimating the inverse of a covariance matrix in the standard multivariate normal situation using a particular loss function.
Efron, Bradley, Morris, Carl
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Joint Covariance Estimation with Mutual Linear Structure
, 2015 We consider the problem of joint estimation of structured covariance matrices. Assuming the structure is unknown, estimation is achieved using heterogeneous training sets.
Soloveychik, Ilya, Wiesel, Ami
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Shrinkage estimation of high dimensional covariance matrices [PDF]
2009 IEEE International Conference on Acoustics, Speech and Signal Processing, 2009 We address covariance estimation under mean-squared loss in the Gaussian setting. Specifically, we consider shrinkage methods which are suitable for high dimensional problems with small number of samples (large p small n). First, we improve on the Ledoit-Wolf (LW) method by conditioning on a sufficient statistic via the Rao-Blackwell theorem, obtaining
Yilun Chen, Ami Wiesel, Alfred O. Hero
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Generative Adversarial Estimation of Channel Covariance in Vehicular Millimeter Wave Systems
, 2018 Enabling highly-mobile millimeter wave (mmWave) systems is challenging because of the huge training overhead associated with acquiring the channel knowledge or designing the narrow beams.
Alkhateeb, Ahmed +2 more
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Performance of internal Covariance Estimators for Cosmic Shear Correlation Functions [PDF]
, 2015 Data re-sampling methods such as the delete-one jackknife are a common tool for estimating the covariance of large scale structure probes. In this paper we investigate the concepts of internal covariance estimation in the context of cosmic shear two ...
Eifler, T. F. +3 more
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Nonparametric Estimation of Large Covariance Matrices with Conditional Sparsity [PDF]
SSRN Electronic Journal, 2020 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Wang, Hanchao +3 more
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Validation on Residual Variation and Covariance Matrix of USSTRATCOM Two Line Element [PDF]
Journal of Astronomy and Space Sciences, 2012 Satellite operating agencies are constantly monitoring conjunctions between satellites and space objects. Two line element (TLE) data, published by the Joint Space Operations Center of the United States Strategic Command, are available as raw data for a ...
Hyeonjeong Yim, Daewon Chung
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Asymptotic analysis of the role of spatial sampling for covariance parameter estimation of Gaussian processes [PDF]
, 2013 Covariance parameter estimation of Gaussian processes is analyzed in an asymptotic framework. The spatial sampling is a randomly perturbed regular grid and its deviation from the perfect regular grid is controlled by a single scalar regularity parameter.
Bachoc, François
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IEEE Access, 2018 This paper addresses the estimation of large-dimensional covariance matrices under both normal and nonnormal distributions. The shrinkage estimators are constructed by convexly combining the sample covariance matrix and a structured target matrix.
Jianbo Li, Jie Zhou, Bin Zhang
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Geometric methods for estimation of structured covariances [PDF]
, 2011 We consider problems of estimation of structured covariance matrices, and in particular of matrices with a Toeplitz structure. We follow a geometric viewpoint that is based on some suitable notion of distance. To this end, we overview and compare several
Georgiou, Tryphon +2 more
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