An Orthogonally Equivariant Estimator of the Covariance Matrix in High Dimensions and for Small Sample Sizes
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We introduce an estimation method of covariance matrices in a high-dimensional setting, i.e., when the dimension of the matrix, p, is larger than the sample size n. Specifically, we propose an orthogonally equivariant estimator. The eigenvectors of such estima... ...
