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 ...

The Annals of Statistics, Vol. 40, No. 2 (April 2012), pp. 1024-1060 (37 pages) Many statistical applications require an estimate of a covariance matrix and/or its inverse. When the matrix dimension ...

We study a class of separable sample covariance matrices of the form 𝒬̃1 := Ã1/2 X B̃ X* Ã1/2. Here, Ã and B̃ are positive definite matrices whose spectrums consist of bulk spectrums plus several ...