The Generalized Ridge Estimator of the Inverse Covariance Matrix
Volume: 28, Issue: 4, Pages: 932 - 942
Published: Jun 6, 2019
Abstract
The ridge inverse covariance estimator is generalized to allow for entry-wise penalization. An efficient algorithm for its evaluation is proposed. Its computational accuracy is benchmarked against implementations of specific cases the generalized ridge inverse covariance estimator encompasses. The proposed estimator shrinks toward a user-specified, nonrandom target matrix and is shown to be positive definite and consistent. It is pointed out how...
Paper Details
Title
The Generalized Ridge Estimator of the Inverse Covariance Matrix
Published Date
Jun 6, 2019
Volume
28
Issue
4
Pages
932 - 942
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