The comparison of the estimators of banded toeplitz covariance structure under the high-dimensional multivariate model

Structures of the covariance matrix: An overview

“…The spherical structure is often used as the set of the target matrix in the shrinkage method (cf. John and Mieldzioc, 2020).…”

“…Niang et al, 2012), banded Teoplitz matrices (cf. Filipiak et al, 2018;John and Mieldzioc, 2020) and symmetric circular Toeplitz matrices (cf. Liang et al, 2020).…”

Block matrix approximation via entropy loss function

“…In classic multivariate models, usually covariance matrices with a specific structure, such as e.g. compound symmetry (Lin et al (2014) [12]), autoregression of order one (Cui et al (2016) [1]) or banded Toeplitz matrices (Filipiak et al (2018b) [7], John, Mieldzioc (2019) [10]) are studied, without partitioning into blocks. Partitioned matrices are commonly used in doubly multivariate models.…”