Covariance and precision matrix estimation for high-dimensional time series (Q2443210): Difference between revisions

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-Wei-Biao Wu
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+Time-Dependent Spectral Analysis of Nonstationary Time Series
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+Q3096116
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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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+Covariance regularization by thresholding
@@ Property / cites work: Covariance regularization by thresholding / rank @@
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+Regularized estimation of large covariance matrices
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+A Constrained<i>ℓ</i><sub>1</sub>Minimization Approach to Sparse Precision Matrix Estimation
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+Optimal rates of convergence for covariance matrix estimation
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+Q3145535
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+Optimal rates of convergence for sparse covariance matrix estimation
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+The Sparse Matrix Transform for Covariance Estimation and Analysis of High Dimensional Signals
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+Covariance and precision matrix estimation for high-dimensional time series
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+Fitting time series models to nonstationary processes
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+Network exploration via the adaptive LASSO and SCAD penalties
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+Sparse inverse covariance estimation with the graphical lasso
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+Covariance matrix selection and estimation via penalised  normal likelihood
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+Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
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+On the distribution of the largest eigenvalue in principal components analysis
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+On Consistency and Sparsity for Principal Components Analysis in High Dimensions
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+Sparsistency and rates of convergence in large covariance matrix estimation
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@@ Property / cites work @@
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+High-dimensional graphs and variable selection with the Lasso
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+Q3394879
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+High-dimensional covariance estimation by minimizing \(\ell _{1}\)-penalized log-determinant divergence
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+Sparse permutation invariant covariance estimation
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+Interpolation of spatial data. Some theory for kriging
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+A general science-based framework for dynamical spatio-temporal models
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+Nonlinear system theory: Another look at dependence
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+Strong invariance principles for dependent random variables
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+Asymptotic theory for stationary processes
@@ Property / cites work: Asymptotic theory for stationary processes / rank @@
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+Nonparametric estimation of large covariance matrices of longitudinal data
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+Limit theorems for iterated random functions
@@ Property / cites work: Limit theorems for iterated random functions / rank @@
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+Covariance matrix estimation for stationary time series
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+Time varying undirected graphs
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+Publication:2443210