Covariance regularization by thresholding (Q1000302): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	Covariance regularization by thresholding	scientific article

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scholarly article

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Covariance regularization by thresholding (English)

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Elizaveta Levina

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Peter J. Bickel

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The Annals of Statistics

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publication date

6 February 2009

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full work available at URL

https://arxiv.org/abs/0901.3079

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zbMATH Keywords

covariance estimation

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regularization

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sparsity

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thresholding

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large \(p\) small \(n\)

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high dimension low sample size

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climate data

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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Adapting to unknown sparsity by controlling the false discovery rate

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Some theory for Fisher's linear discriminant function, `naive Bayes', and some alternatives when there are many more variables than observations

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Regularized estimation of large covariance matrices

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First-Order Methods for Sparse Covariance Selection

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A Direct Formulation for Sparse PCA Using Semidefinite Programming

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Estimation of a covariance matrix under Stein's loss

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Ideal spatial adaptation by wavelet shrinkage

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Asymptotics of cross-validated risk estimation in estimator selection and performance assess\-ment

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Operator norm consistent estimation of large-dimensional sparse covariance matrices

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Spectrum estimation for large dimensional covariance matrices using random matrix theory

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Tracy-Widom limit for the largest eigenvalue of a large class of complex sample covariance matrices

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High dimensional covariance matrix estimation using a factor model

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Network exploration via the adaptive LASSO and SCAD penalties

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Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

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Sparse inverse covariance estimation with the graphical lasso

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Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants

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Empirical Bayes estimation of the multivariate normal covariance matrix

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Covariance matrix selection and estimation via penalised normal likelihood

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Empirical Bayes selection of wavelet thresholds

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On the distribution of the largest eigenvalue in principal components analysis

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Sparsistency and rates of convergence in large covariance matrix estimation

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A well-conditioned estimator for large-dimensional covariance matrices

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Sparse estimation of large covariance matrices via a nested Lasso penalty

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DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES

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Sparse permutation invariant covariance estimation

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Weak convergence and empirical processes. With applications to statistics

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Nonparametric estimation of large covariance matrices of longitudinal data

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Model selection and estimation in the Gaussian graphical model

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Identifiers

zbMATH Open document ID

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10.1214/08-AOS600

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:1000302

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