Shrinkage algorithms for covariance matrix estimation

Version 1.1.0.0 (2.71 KB) by Okba Bekhelifi
Shrinkage covariance matrix estimators
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Updated 7 Aug 2016

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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://ch.mathworks.com/matlabcentral/fileexchange/57674-shrinkage-algorithms-for-covariance-matrix-estimation), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2012a
Compatible with any release
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shrinkage_cov/

Version Published Release Notes
1.1.0.0

Fixed OAS estimator
1.0.0.0