Estimation of covariance matrices (English Wikipedia)

Analysis of information sources in references of the Wikipedia article "Estimation of covariance matrices" in English language version.

refsWebsite

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5doi.org

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4uzh.ch

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3web.archive.org

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2r-project.org

7,871^st place

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1zenodo.org

621^st place

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1semanticscholar.org

11^th place

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1jstor.org

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1arxiv.org

69^th place

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1ieee.org

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1ledoit.net

low place

arxiv.org (Global: 69^th place; English: 59^th place)

A. Touloumis (2015) "Nonparametric Stein-type shrinkage covariance matrix estimators in high-dimensional settings" Computational Statistics & Data Analysis 83: 251—261.

doi.org (Global: 2^nd place; English: 2^nd place)

Smith, Steven Thomas (May 2005). "Covariance, Subspace, and Intrinsic Cramér–Rao Bounds". IEEE Trans. Signal Process. 53 (5): 1610–1630. doi:10.1109/TSP.2005.845428. S2CID 2751194.
Devlin, Susan J.; Gnanadesikan, R.; Kettenring, J. R. (1975). "Robust Estimation and Outlier Detection with Correlation Coefficients". Biometrika. 62 (3): 531–545. doi:10.1093/biomet/62.3.531.
Dwyer, Paul S. (June 1967). "Some applications of matrix derivatives in multivariate analysis". Journal of the American Statistical Association. 62 (318): 607–625. doi:10.2307/2283988. JSTOR 2283988.
Ledoit, O., & Wolf, M. (2022). The power of (non-) linear shrinking: A review and guide to covariance matrix estimation. Journal of Financial Econometrics, 20(1), 187-218. https://doi.org/10.1093/jjfinec/nbaa007
Schäfer, J., & Strimmer, K. (2005). "A shrinkage approach to large-scale covariance matrix estimation and implications for functional genomics". Statistical applications in genetics and molecular biology, 4(1). https://doi.org/10.2202/1544-6115.1175

ieee.org (Global: 652^nd place; English: 515^th place)

ieeexplore.ieee.org

T. Lancewicki and M. Aladjem (2014) "Multi-Target Shrinkage Estimation for Covariance Matrices", IEEE Transactions on Signal Processing, Volume: 62, Issue 24, pages: 6380-6390.

jstor.org (Global: 26^th place; English: 20^th place)

Dwyer, Paul S. (June 1967). "Some applications of matrix derivatives in multivariate analysis". Journal of the American Statistical Association. 62 (318): 607–625. doi:10.2307/2283988. JSTOR 2283988.

ledoit.net (Global: low place; English: low place)

MATLAB code for shrinkage targets: scaled identity, single-index model, constant-correlation model, two-parameter matrix, and diagonal matrix.

r-project.org (Global: 7,871^st place; English: 5,225^th place)

cran.r-project.org

corpcor: Efficient Estimation of Covariance and (Partial) Correlation, CRAN, 16 September 2021{{citation}}: CS1 maint: location missing publisher (link)
ShrinkCovMat: Shrinkage Covariance Matrix Estimators, CRAN, 30 July 2019{{citation}}: CS1 maint: location missing publisher (link)

semanticscholar.org (Global: 11^th place; English: 8^th place)

api.semanticscholar.org

Smith, Steven Thomas (May 2005). "Covariance, Subspace, and Intrinsic Cramér–Rao Bounds". IEEE Trans. Signal Process. 53 (5): 1610–1630. doi:10.1109/TSP.2005.845428. S2CID 2751194.

uzh.ch (Global: 3,633^rd place; English: 3,091^st place)

econ.uzh.ch

O. Ledoit and M. Wolf (2004a) "A well-conditioned estimator for large-dimensional covariance matrices Archived 2014-12-05 at the Wayback Machine" Journal of Multivariate Analysis 88 (2): 365—411.
O. Ledoit and M. Wolf (2003) "Improved estimation of the covariance matrix of stock returns with an application to portofolio selection Archived 2014-12-05 at the Wayback Machine" Journal of Empirical Finance 10 (5): 603—621.
O. Ledoit and M. Wolf (2004b) "Honey, I shrunk the sample covariance matrix Archived 2014-12-05 at the Wayback Machine" The Journal of Portfolio Management 30 (4): 110—119.
MATLAB code for shrinkage targets: scaled identity, single-index model, constant-correlation model, two-parameter matrix, and diagonal matrix.

web.archive.org (Global: 1^st place; English: 1^st place)

O. Ledoit and M. Wolf (2004a) "A well-conditioned estimator for large-dimensional covariance matrices Archived 2014-12-05 at the Wayback Machine" Journal of Multivariate Analysis 88 (2): 365—411.
O. Ledoit and M. Wolf (2003) "Improved estimation of the covariance matrix of stock returns with an application to portofolio selection Archived 2014-12-05 at the Wayback Machine" Journal of Empirical Finance 10 (5): 603—621.
O. Ledoit and M. Wolf (2004b) "Honey, I shrunk the sample covariance matrix Archived 2014-12-05 at the Wayback Machine" The Journal of Portfolio Management 30 (4): 110—119.

zenodo.org (Global: 621^st place; English: 380^th place)

Smith, Steven Thomas (May 2005). "Covariance, Subspace, and Intrinsic Cramér–Rao Bounds". IEEE Trans. Signal Process. 53 (5): 1610–1630. doi:10.1109/TSP.2005.845428. S2CID 2751194.

Estimation of covariance matrices (English Wikipedia)

arxiv.org (Global: 69th place; English: 59th place)

doi.org (Global: 2nd place; English: 2nd place)

ieee.org (Global: 652nd place; English: 515th place)