@article{fan2016,
    author = {Fan, Jianqing and Liao, Yuan and Liu, Han},
    title = {An overview of the estimation of large covariance and precision matrices},
    journal = {The Econometrics Journal},
    volume = {19},
    number = {1},
    pages = {C1-C32},
    keywords = {Approximate factor model, Elliptical distribution, Graphical model, Heavy-tailed, High-dimensionality, Low-rank matrix, Principal components, Rank-based methods, Sparse matrix, Thresholding},
    doi = {10.1111/ectj.12061},
    url = {https://onlinelibrary.wiley.com/doi/abs/10.1111/ectj.12061},
    year = {2016}
}

@techreport{laan_dudoit:2003,
  author = {Dudoit, Sandrine and {van der Laan}, Mark J},
  title = {Asymptotics of Cross-Validated Risk Estimation in Estimator Selection and Performance Assessment},
  series = {U.C. Berkeley Division of Biostatistics Working Paper Series},
  type = {Working Paper},
  number = {126},
  month = {February},
  year = {2003},
  institution = {University of California, Berkeley},
  address = {Berkeley},
  URL = {https://biostats.bepress.com/ucbbiostat/paper126/}
}

@article{dudoit2005,
  title={Asymptotics of cross-validated risk estimation in estimator selection and performance assessment},
  author={Sandrine Dudoit and Mark J. {van der Laan}},
  journal={Statistical Methodology},
  volume={2},
  number={2},
  pages={131--154},
  year={2005},
  publisher={Elsevier}
}

@article{vaart2006,
  title={Oracle inequalities for multi-fold cross validation},
  author={{van der Vaart}, Aad W and Dudoit, Sandrine and {van der Laan}, Mark J},
  journal={Statistics and Decisions},
  year={2006},
  volume={24},
  pages={351-371}
}

@article{Coyle2018,
  doi = {10.21105/joss.00512},
  url = {https://doi.org/10.21105/joss.00512},
  year = {2018},
  publisher = {The Open Journal},
  volume = {3},
  number = {21},
  pages = {512},
  author = {Jeremy Coyle and Nima Hejazi},
  title = {origami: A Generalized Framework for Cross-Validation in R},
  journal = {Journal of Open Source Software}
}

@article{Bickel2008_thresh,
  author = {Peter J. Bickel and Elizaveta Levina},
  doi = "10.1214/08-AOS600",
  journal = "Annals of Statistics",
  month = "12",
  number = "6",
  pages = "2577--2604",
  publisher = "The Institute of Mathematical Statistics",
  title = "Covariance regularization by thresholding",
  url = "https://doi.org/10.1214/08-AOS600",
  volume = "36",
  year = "2008"
}

@article{bickel2008_banding,
  author = {Peter J. Bickel and Elizaveta Levina},
  doi = "10.1214/009053607000000758",
  journal = "Annals of Statistics",
  month = "02",
  number = "1",
  pages = "199--227",
  publisher = "The Institute of Mathematical Statistics",
  title = "Regularized estimation of large covariance matrices",
  url = "https://doi.org/10.1214/009053607000000758",
  volume = "36",
  year = "2008"
}

@article{Ledoit2004,
  title = "A well-conditioned estimator for large-dimensional covariance matrices",
  journal = "Journal of Multivariate Analysis",
  volume = "88",
  number = "2",
  pages = "365 - 411",
  year = "2004",
  issn = "0047-259X",
  doi = "10.1016/S0047-259X(03)00096-4",
  url = "https://www.sciencedirect.com/science/article/pii/S0047259X03000964",
  author = "Olivier Ledoit and Michael Wolf"
}

@article{cai2010,
  author = "Cai, T. Tony and Zhang, Cun-Hui and Zhou, Harrison H.",
  doi = "10.1214/09-AOS752",
  fjournal = "Annals of Statistics",
  journal = "Ann. Statist.",
  month = "08",
  number = "4",
  pages = "2118--2144",
  publisher = "The Institute of Mathematical Statistics",
  title = "Optimal rates of convergence for covariance matrix estimation",
  url = "https://doi.org/10.1214/09-AOS752",
  volume = "38",
  year = "2010"
}

@techreport{Ledoit2020,
  title = {Analytical nonlinear shrinkage of large-dimensional covariance matrices},
  author = {Olivier Ledoit and Michael Wolf},
  year = {2018},
  institution = {Department of Economics - University of Zurich},
  number = {264},
  url = {https://EconPapers.repec.org/RePEc:zur:econwp:264}
}

@article{Ledoit2020b,
    author = {Ledoit, Olivier and Wolf, Michael},
    title = "{The Power of (Non-)Linear Shrinking: A Review and Guide to Covariance Matrix Estimation}",
    journal = {Journal of Financial Econometrics},
    year = {2020},
    month = {06},
    issn = {1479-8409},
    doi = {10.1093/jjfinec/nbaa007},
    url = {https://doi.org/10.1093/jjfinec/nbaa007},
    note = {nbaa007},
    eprint = {https://academic.oup.com/jfec/advance-article-pdf/doi/10.1093/jjfinec/nbaa007/33416890/nbaa007.pdf},
}

@article{shafer2005,
    author = "Juliane Schäfer and Korbinian Strimmer",
    title = "A Shrinkage Approach to Large-Scale Covariance Matrix Estimation and Implications for Functional Genomics",
    journal = "Statistical Applications in Genetics and Molecular Biology",
    year = "2005",
    publisher = "De Gruyter",
    address = "Berlin, Boston",
    volume = "4",
    number = "1",
    doi = "10.2202/1544-6115.1175",
    url = "https://www.degruyter.com/view/journals/sagmb/4/1/article-sagmb.2005.4.1.1175.xml.xml"
}

@article{fan2001,
  author = {Jianqing Fan and Runze Li},
  title = {Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties},
  journal = {Journal of the American Statistical Association},
  volume = {96},
  number = {456},
  pages = {1348-1360},
  year  = {2001},
  publisher = {Taylor & Francis},
  doi = {10.1198/016214501753382273},
  URL = {https://doi.org/10.1198/016214501753382273},
  eprint = {https://doi.org/10.1198/016214501753382273}
}

@article{rothman2009,
  author = {Adam J. Rothman and Elizaveta Levina and Ji Zhu},
  title = {Generalized Thresholding of Large Covariance Matrices},
  journal = {Journal of the American Statistical Association},
  volume = {104},
  number = {485},
  pages = {177-186},
  year  = {2009},
  publisher = {Taylor & Francis},
  doi = {10.1198/jasa.2009.0101},
  URL = {https://doi.org/10.1198/jasa.2009.0101},
  eprint = {https://doi.org/10.1198/jasa.2009.0101}
}

@article{fan2013,
 ISSN = {13697412, 14679868},
 URL = {https://www.jstor.org/stable/24772450},
 author = {Jianqing Fan and Yuan Liao and Martina Mincheva},
 journal = {Journal of the Royal Statistical Society. Series B (Statistical Methodology)},
 number = {4},
 pages = {603--680},
 publisher = {[Royal Statistical Society, Wiley]},
 title = {Large covariance estimation by thresholding principal orthogonal complements},
 volume = {75},
 year = {2013}
}

@article{zou2006,
  author = {Hui Zou},
  title = {The Adaptive Lasso and Its Oracle Properties},
  journal = {Journal of the American Statistical Association},
  volume = {101},
  number = {476},
  pages = {1418-1429},
  year  = {2006},
  publisher = {Taylor & Francis},
  doi = {10.1198/016214506000000735},
  URL = {https://doi.org/10.1198/016214506000000735},
  eprint = {https://doi.org/10.1198/016214506000000735}
}

@article{fan2018,
  author = {Fan, Jianqing and Liu, Han and Wang, Weichen},
  doi = {10.1214/17-AOS1588},
  fjournal = {Annals of Statistics},
  journal = {Ann. Statist.},
  month = {08},
  number = {4},
  pages = {1383--1414},
  publisher = {The Institute of Mathematical Statistics},
  title = {Large covariance estimation through elliptical factor models},
  url = {https://doi.org/10.1214/17-AOS1588},
  volume = {46},
  year = {2018}
}


@article{donoho2018,
	author = {David Donoho and Matan Gavish and Iain Johnstone},
	journal = {The Annals of Statistics},
	number = {4},
	pages = {1742 -- 1778},
	title = {{Optimal shrinkage of eigenvalues in the spiked covariance model}},
	volume = {46},
	year = {2018}}


@misc{boileau2021,
      title={Cross-Validated Loss-Based Covariance Matrix Estimator Selection in High Dimensions},
      author={Philippe Boileau and Nima S. Hejazi and Mark J. van der Laan and Sandrine Dudoit},
      year={2021},
      eprint={2102.09715},
      archivePrefix={arXiv},
      primaryClass={stat.ME},
      URL={https://arxiv.org/abs/2102.09715}
}
