On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix

Keyphrases

• Large Covariance Matrix 100%
• Strong Convergence 100%
• Linear Shrinkage Estimator 100%
• Almost Surely 66%
• Covariance Matrix 66%
• Shrinkage Intensity 33%
• Sample Covariance Matrix 33%
• Random Matrix Theory 33%
• Deterministic Equivalent 33%
• Frobenius Norm 33%
• Distribution-free 33%
• High Dimension 33%
• Shrinkage Estimator 33%
• Frobenius Loss 33%
• Optimal Shrinkage 33%

Mathematics

• Covariance Matrix 100%
• Strong Convergence 100%
• Shrinkage Estimator 100%
• Number 33%
• Asymptotics 33%
• Sample Covariance Matrix 33%
• Random Matrix Theory 33%
• Higher Dimensions 33%
• Frobenius Norm 33%
• Variables 33%
• Finite Frobenius Ring 33%
• Sample Size 33%

INIS

• convergence 100%
• matrices 100%
• shrinkage 100%
• norm 20%
• distribution 20%
• asymptotic solutions 20%
• dimensions 20%
• losses 20%
• randomness 20%
• size 20%