Group symmetry and covariance regularization

DOI10.1214/12-EJS723zbMath1295.62023arXiv1111.7061MaRDI QIDQ1950873

Parikshit Shah, Venkat Chandrasekaran

Publication date: 28 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1111.7061

zbMATH Keywords

exchangeabilitygroup invariancecovariance selectionhigh-dimensional asymptotics

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Ordinary representations and characters (20C15)

Related Items (4)

Gaussian and robust Kronecker product covariance estimation: existence and uniqueness ⋮ Matrix compression along isogenic blocks ⋮ Symmetries in directed Gaussian graphical models ⋮ Model selection in the space of Gaussian models invariant by symmetry

Uses Software

• gRc
• GMRFLib

Cites Work

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