Robust shrinkage estimation of high-dimensional covariance matrices
Robust shrinkage estimation of high-dimensional covariance matrices
Abstract-We address high dimensional covariance estimation for elliptical distributed samples. Specifically we consider shrinkage methods that are suitable for high dimensional problems with a small number of samples (large p small n). We start from a classical robust covariance estimator [Tyler(1987)], which is distribution-free within the family of elliptical distribution …