Positive definite matrix approximation with condition number constraint
Tóm tắt
Từ khóa
Tài liệu tham khảo
Cornuejols, G., Tütüncü, R.: Optimization Methods in Finance. Cambridge University Press, Cambridge (2007)
Daniels, M.J., Kass, R.E.: Shrinkage estimators for covariance matrices. Biometrics 57, 1173–1184 (2001)
Dey, D.K., Srinivasan, C.: Estimation of a covariance matrix under Stein’s loss. Ann. Stat. 13, 1581–1591 (1985)
Horn, R.H., Johnson, C.R.: Matrix Analysis. Cambridge University Press, Cambridge (1990)
Horn, R.H., Johnson, C.R.: Topics in Matrix Analysis. Cambridge University Press, Cambridge (1994)
James, W., Stein, C.: Estimation with quadratic loss. In: Proceedings of Fourth Berkeley Symposium on Mathematical Statistics and Probability. pp. 361–379 (1961)
Leodit, O., Wolf, M.: A well-conditioned estimator for large-dimensional covariance matrices. J. Multivar. Anal. 88, 365–411 (2004)