Large covariance estimation through elliptical factor models (Q2413594): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	Large covariance estimation through elliptical factor models	scientific article

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scholarly article

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Large covariance estimation through elliptical factor models (English)

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The Annals of Statistics

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publication date

14 September 2018

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full work available at URL

https://arxiv.org/abs/1507.08377

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zbMATH Keywords

principal component analysis

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approximate factor model

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sub-Gaussian family

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elliptical distribution

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conditional graphical model

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marginal and spatial Kendall's tau

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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Noisy matrix decomposition via convex relaxation: optimal rates in high dimensions

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High-dimensional analysis of semidefinite relaxations for sparse principal components

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Regularization of Wavelet Approximations

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Statistical analysis of factor models of high dimension

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Determining the Number of Factors in Approximate Factor Models

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Principal components estimation and identification of static factors

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\(\ell_1\)-penalized quantile regression in high-dimensional sparse models

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An efficient and robust adaptive estimator of location

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Optimal detection of sparse principal components in high dimension

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On adaptive estimation

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Covariance regularization by thresholding

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Regularized estimation of large covariance matrices

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Minimax bounds for sparse PCA with noisy high-dimensional data

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Adaptive Thresholding for Sparse Covariance Matrix Estimation

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A Constrained<i>ℓ</i><sub>1</sub>Minimization Approach to Sparse Precision Matrix Estimation

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Sparse PCA: optimal rates and adaptive estimation

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Optimal estimation and rank detection for sparse spiked covariance matrices

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Optimal rates of convergence for estimating Toeplitz covariance matrices

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Optimal rates of convergence for covariance matrix estimation

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Optimal rates of convergence for sparse covariance matrix estimation

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Covariate-adjusted precision matrix estimation with an application in genetical genomics

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Challenging the empirical mean and empirical variance: a deviation study

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Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets

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Latent variable graphical model selection via convex optimization

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Rank-Sparsity Incoherence for Matrix Decomposition

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A multivariate version of kendall's τ

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Fast algorithms for the calculation of Kendall's \(\tau\)

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Statistical Tools for Finance and Insurance

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The Rotation of Eigenvectors by a Perturbation. III

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Robust estimation of constrained covariance matrices for confirmatory factor analysis

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The spatial sign covariance matrix with unknown location

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Operator norm consistent estimation of large-dimensional sparse covariance matrices

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Adaptive robust variable selection

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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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Estimation of High Dimensional Mean Regression in the Absence of Symmetry and Light Tail Assumptions

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High-dimensional covariance matrix estimation in approximate factor models

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Large Covariance Estimation by Thresholding Principal Orthogonal Complements

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Projected principal component analysis in factor models

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QUADRO: a supervised dimension reduction method via Rayleigh quotient optimization

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Sparse inverse covariance estimation with the graphical lasso

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Semiparametrically efficient rank-based inference for shape. I: optimal rank-based tests for sphericity

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The Influence Curve and Its Role in Robust Estimation

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Scale-Invariant Sparse PCA on High-Dimensional Meta-Elliptical Data

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ECA: High-Dimensional Elliptical Component Analysis in Non-Gaussian Distributions

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Statistical analysis of latent generalized correlation matrix estimation in transelliptical distribution

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Robust Matrix Decomposition With Sparse Corruptions

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Robust Estimation of a Location Parameter

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Multivariate extremes, aggregation and dependence in elliptical distributions

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On Consistency and Sparsity for Principal Components Analysis in High Dimensions

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A Computer Method for Calculating Kendall's Tau with Ungrouped Data

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Sparsistency and rates of convergence in large covariance matrix estimation

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Partial estimation of covariance matrices

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Robust singular value decomposition analysis of microarray data

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Sparse principal component analysis and iterative thresholding

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Some robust estimates of principal components

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High-dimensional graphs and variable selection with the Lasso

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Robust factor analysis.

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High-dimensional covariance estimation by minimizing \(\ell _{1}\)-penalized log-determinant divergence

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Generalized Thresholding of Large Covariance Matrices

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Alternatives to the Median Absolute Deviation

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Consistency of sparse PCA in high dimension, low sample size contexts

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Introduction to nonparametric estimation

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Radial estimates and the test for sphericity

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Linear programming. Foundations and extensions.

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Sign and rank covariance matrices

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Elliptical graphical modelling

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Minimax sparse principal subspace estimation in high dimensions

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Asymptotics of empirical eigenstructure for high dimensional spiked covariance

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Adaptive estimation of the copula correlation matrix for semiparametric elliptical copulas

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Model selection and estimation in the Gaussian graphical model

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Composite quantile regression and the oracle model selection theory

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Identifiers

zbMATH Open document ID

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10.1214/17-AOS1588

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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:2413594

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