Journal of Applied Probability, Vol. 27, No. 1 (Mar., 1990), pp. 156-170 (15 pages) Let Xt be a discrete-time multivariate stationary process possessing an infinite autoregressive representation and ...
A Bayesian method is proposed for estimating an inverse covariance matrix from Gaussian data. The method is based on a prior that allows the off-diagonal elements of the inverse covariance matrix to ...
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 ...
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