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A Stein’s approach to covariance matrix estimation using regularization of Cholesky factor and log-Cholesky metric

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Academic year: 2021

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Fig. 2. Risks of the various estimators over 100 random trials of Σ . p = 16 and n = 2p.
Fig. 3. Risks of the various estimators over 100 random trials of Σ . p = 64 and n = p + 2.
Fig. 4. Risks of the various estimators over 100 random trials of Σ . p = 64 and n = 2p.
Fig. 5. Risk corresponding to the natural distance of the various estimators over 100 random trials of Σ

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