Shrinkage Estimation for Mean and Covariance Matrices
Hisayuki Tsukuma, Tatsuya Kubokawa
Topics & Concepts
ShrinkageEstimation of covariance matricesCovariance matrixShrinkage estimatorCovarianceSample mean and sample covarianceMathematicsEstimationRandom variateLaw of total covarianceScatter matrixMatrix (chemical analysis)Covariance functionApplied mathematicsCovariance mappingStatisticsRational quadratic covariance functionCovariance intersectionMean squared errorMaterials scienceEngineeringMinimum-variance unbiased estimatorRandom variableSystems engineeringEstimatorBias of an estimatorComposite materialRandom Matrices and Applications