Shrinkage algorithms for covariance matrix estimation
Shrinkage covariance matrix estimators
You are now following this Submission
- You will see updates in your followed content feed
- You may receive emails, depending on your communication preferences
Implements the estimators proposed in
"Shrinkage Algorithms for MMSE Covariance Estimation"
Chen et al., IEEE Trans. on Sign. Proc., Volume 58, Issue 10, October 201
Cite As
Okba Bekhelifi (2026). Shrinkage algorithms for covariance matrix estimation (https://www.mathworks.com/matlabcentral/fileexchange/57674-shrinkage-algorithms-for-covariance-matrix-estimation), MATLAB Central File Exchange. Retrieved .
General Information
- Version 1.1.0.0 (2.71 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
