A shrinkage approach to joint estimation of multiple covariance matrices
Hu Z, Hu Z, Dong K, Tong T, Wang Y. A shrinkage approach to joint estimation of multiple covariance matrices. Metrika 2020, 84: 339-374. DOI: 10.1007/s00184-020-00781-3.Peer-Reviewed Original ResearchSample covariance matrixCovariance matrixMultiple covariance matricesPooled sample covariance matrixOptimal shrinkage parameterQuadratic loss functionShrinkage parameterJoint estimationNumber of groupsShrinkage approachShrinkage methodSimulation studyLoss functionMatrixInfinityEstimatorSample sizeEstimationFramework