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SURE-tuned tapering estimation of large covariance matrices
Feng Yi,
Hui Zou
Statistics (Twin Cities)
Research output
:
Contribution to journal
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Article
›
peer-review
14
Scopus citations
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Dive into the research topics of 'SURE-tuned tapering estimation of large covariance matrices'. Together they form a unique fingerprint.
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Keyphrases
Large Covariance Matrix
100%
Stein's Unbiased Risk Estimate
100%
Covariance Matrix
33%
Taper Parameter
33%
Risk Estimation
16%
Covariance Estimation
16%
Spectra Data
16%
Monte Carlo Study
16%
Dependence Structure
16%
Sonar
16%
Oracle
16%
Optimal Convergence Rate
16%
Real-time Data Analysis
16%
Tapering Estimator
16%
Estimation Theory
16%
Optimal Minimax Rate
16%
Frobenius
16%
Mathematics
Covariance Matrix
100%
Risk Unbiased Estimation
100%
Estimation Theory
20%
Dependence Structure
20%
Monte Carlo Study
20%
Minimax
20%
Cross-Validation
20%
Finite Frobenius Ring
20%
Covariance
20%
Real Data
20%