Shrinkage estimation of large covariance matrices using multiple shrinkage targets

2 code implementations • 21 Sep 2018 • Harry Gray, Gwenaël G. R. Leday, Catalina A. Vallejos, Sylvia Richardson

Linear shrinkage estimators of a covariance matrix --- defined by a weighted average of the sample covariance matrix and a pre-specified shrinkage target matrix --- are popular when analysing high-throughput molecular data.

Methodology Applications