JSTOR Daily

Matrix Methods in Components of Variance and Covariance Analysis

The Annals of Mathematical Statistics, Vol. 27, No. 3 (Sep., 1956), pp. 737-748 (12 pages) The sampling variance of the least squares estimates of the components of variance in an unbalanced ...
IEEE

A Two-Stage Nonlinear Shrinkage of the Sample Covariance Matrix for Robust Capon Beamforming

Abstract: When the number of snapshots used to estimate the Sample covariance matrix (SCM) approaches infinity and the array steering vector is accurately known, the Standard Capon beamformer (SCB) ...
JSTOR Daily

The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model

This is a preview. Log in through your library . Abstract We consider a multivariate heavy-tailed stochastic volatility model and analyze the large-sample behavior of its sample covariance matrix. We ...
IEEE

Sample covariance matrix eigenvalues based blind SNR estimation

Abstract: In this paper, a newly developed SNR estimation algorithm is presented. The new algorithm is based on the eigenvalues of the sample covariance matrix of the recieved signal. The presented ...
International Monetary Fund

High-Dimensional Covariance Matrix Estimation: Shrinkage Toward a Diagonal Target

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle ...