NOVELIST estimator of large correlation and covariance matrices and their inverses (Q2273174): Difference between revisions

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+https://doi.org/10.1007/s11749-018-0592-4
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+W2867852454
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@@ Property / cites work @@
+Regularized estimation of large covariance matrices
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+Covariance regularization by thresholding
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+Adaptive Thresholding for Sparse Covariance Matrix Estimation
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+Optimal rates of convergence for covariance matrix estimation
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+Q3851426
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+Principal component analysis based on robust estimators of the covariance or correlation matrix: influence functions and efficiencies
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+Bayesian estimation of the dispersion matrix of a multivariate normal distribution
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+Operator norm consistent estimation of large-dimensional sparse covariance matrices
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+Q5509343
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+Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
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+High dimensional covariance matrix estimation using a factor model
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+Large Covariance Estimation by Thresholding Principal Orthogonal Complements
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+Sparse inverse covariance estimation with the graphical lasso
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+High-dimensional volatility matrix estimation via wavelets and thresholding
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+Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants
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+Q3359644
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+Regularized linear discriminant analysis and its application in microarrays
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+Nonparametric eigenvalue-regularized precision or covariance matrix estimator
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+Eigenvectors of some large sample covariance matrix ensembles
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+A well-conditioned estimator for large-dimensional covariance matrices
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+Nonlinear shrinkage estimation of large-dimensional covariance matrices
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+Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
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+Bayesian inference for a covariance matrix
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+High-dimensional graphs and variable selection with the Lasso
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+Sparse permutation invariant covariance estimation
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+Generalized Thresholding of Large Covariance Matrices
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+Nonparametric estimation of large covariance matrices of longitudinal data
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+The Adaptive Lasso and Its Oracle Properties
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