A hierarchical eigenmodel for pooled covariance estimation
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References listed on IDEAS
- Hoff, Peter D., 2007. "Model Averaging and Dimension Selection for the Singular Value Decomposition," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 674-685, June.
- Chikuse, Yasuko, 1976. "Asymptotic distributions of the latent roots of the covariance matrix with multiple population roots," Journal of Multivariate Analysis, Elsevier, vol. 6(2), pages 237-249, June.
- Constantine, A. G. & Muirhead, R. J., 1976. "Asymptotic expansions for distributions of latent roots in multivariate analysis," Journal of Multivariate Analysis, Elsevier, vol. 6(3), pages 369-391, September.
- Takemura, Akimichi & Sheena, Yo, 2005. "Distribution of eigenvalues and eigenvectors of Wishart matrix when the population eigenvalues are infinitely dispersed and its application to minimax estimation of covariance matrix," Journal of Multivariate Analysis, Elsevier, vol. 94(2), pages 271-299, June.
- Robert J. Boik, 2002. "Spectral models for covariance matrices," Biometrika, Biometrika Trust, vol. 89(1), pages 159-182, March.
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