@article{BESSON2020108893,
title = "A Stein’s approach to covariance matrix estimation using regularization of Cholesky factor and log-Cholesky metric",
journal = "Statistics & Probability Letters",
volume = "167",
pages = "108893",
year = "2020",
issn = "0167-7152",
doi = "https://doi.org/10.1016/j.spl.2020.108893",
url = "http://www.sciencedirect.com/science/article/pii/S0167715220301966",
author = "Olivier Besson and François Vincent and Xavier Gendre",
keywords = "Cholesky factor, Covariance matrix estimation, Regularization, Steins’s estimation",
abstract = "We consider a Stein’s approach to estimate a covariance matrix using regularization of the sample covariance matrix Cholesky factor. We propose a method to estimate accurately the regularization vector which minimizes the risk associated with the recently introduced log-Cholesky metric."
}