Regularized estimation of large covariance matrices

DOI10.1214/009053607000000758zbMath1132.62040arXiv0803.1909OpenAlexW3101788651WikidataQ107314656 ScholiaQ107314656MaRDI QIDQ2477058

Elizaveta Levina, Peter J. Bickel

Publication date: 12 March 2008

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0803.1909

zbMATH Keywords

regularizationcovariance matrixCholesky decompositionbanding

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Bootstrap, jackknife and other resampling methods (62F40) Eigenvalues, singular values, and eigenvectors (15A18)

Related Items (only showing first 100 items - show all)

Covariance estimation via fiducial inference ⋮ On the non-local priors for sparsity selection in high-dimensional Gaussian DAG models ⋮ Variable screening in multivariate linear regression with high-dimensional covariates ⋮ Cholesky-based model averaging for covariance matrix estimation ⋮ Factor analysis of correlation matrices when the number of random variables exceeds the sample size ⋮ AdaBoost Semiparametric Model Averaging Prediction for Multiple Categories ⋮ Covariate Information Number for Feature Screening in Ultrahigh-Dimensional Supervised Problems ⋮ Convergence and finite sample approximations of entropic regularized Wasserstein distances in Gaussian and RKHS settings ⋮ Cross-Validated Loss-based Covariance Matrix Estimator Selection in High Dimensions ⋮ Clustering High-Dimensional Time Series Based on Parallelism ⋮ Frequentist Model Averaging for the Nonparametric Additive Model ⋮ Linear Manifold Modeling and Graph Estimation based on Multivariate Functional Data with Different Coarseness Scales ⋮ Learning Gaussian graphical models with latent confounders ⋮ A random covariance model for bi‐level graphical modeling with application to resting‐state fMRI data ⋮ Cellwise outlier detection with false discovery rate control ⋮ A new approach for ultrahigh-dimensional covariance matrix estimation ⋮ A quantile‐slicing approach for sufficient dimension reduction with censored responses ⋮ Adaptive Tests for Bandedness of High-dimensional Covariance Matrices ⋮ Covariance structure estimation with Laplace approximation ⋮ Model-Based Clustering of High-Dimensional Longitudinal Data via Regularization ⋮ Hypothesis Testing of Matrix Graph Model with Application to Brain Connectivity Analysis ⋮ Estimating large‐dimensional connectedness tables: The great moderation through the lens of sectoral spillovers ⋮ An efficient GPU-parallel coordinate descent algorithm for sparse precision matrix estimation via scaled Lasso ⋮ A Normality Test for High-dimensional Data Based on the Nearest Neighbor Approach ⋮ Block-diagonal precision matrix regularization for ultra-high dimensional data ⋮ Scalable Bayesian high-dimensional local dependence learning ⋮ A DC Programming Approach for Sparse Estimation of a Covariance Matrix ⋮ Post-processed posteriors for sparse covariances ⋮ GLS estimation and confidence sets for the date of a single break in models with trends ⋮ Complexity analysis of Bayesian learning of high-dimensional DAG models and their equivalence classes ⋮ Covariance Estimation for Matrix-valued Data ⋮ Optimal covariance matrix estimation for high-dimensional noise in high-frequency data ⋮ Mining the factor zoo: estimation of latent factor models with sufficient proxies ⋮ Power enhancement for testing multi-factor asset pricing models via Fisher's method ⋮ A Mass-Shifting Phenomenon of Truncated Multivariate Normal Priors ⋮ An adjoint-free four-dimensional variational data assimilation method via a modified Cholesky decomposition and an iterative Woodbury matrix formula ⋮ Positive-definite thresholding estimators of covariance matrices with zeros ⋮ Change-point testing for parallel data sets with FDR control ⋮ An Asymptotic Analysis of Random Partition Based Minibatch Momentum Methods for Linear Regression Models ⋮ Sharp optimality for high-dimensional covariance testing under sparse signals ⋮ Local Whittle estimation of high-dimensional long-run variance and precision matrices ⋮ Semi-parametric inference for large-scale data with temporally dependent noise ⋮ Detection of Multiple Structural Breaks in Large Covariance Matrices ⋮ Covariance Model with General Linear Structure and Divergent Parameters ⋮ Precision matrix estimation under the horseshoe-like prior-penalty dual ⋮ Power-Enhanced Simultaneous Test of High-Dimensional Mean Vectors and Covariance Matrices with Application to Gene-Set Testing ⋮ Asymptotic distribution of least square estimators for linear models with dependent errors ⋮ An accurate test for the equality of covariance matrices from decomposable graphical Gaussian models ⋮ Computational and statistical tradeoffs via convex relaxation ⋮ Confidence Intervals for Low Dimensional Parameters in High Dimensional Linear Models ⋮ The minimum covariance determinant estimator for interval-valued data ⋮ Trimmed estimators for large dimensional sparse covariance matrices ⋮ Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation ⋮ Tuning-parameter selection in regularized estimations of large covariance matrices ⋮ Graph-Guided Banding of the Covariance Matrix ⋮ Testing for Trends in High-Dimensional Time Series ⋮ Sparse Minimum Discrepancy Approach to Sufficient Dimension Reduction with Simultaneous Variable Selection in Ultrahigh Dimension ⋮ Smooth monotone covariance for elliptical distributions and applications in finance ⋮ A sequential scaled pairwise selection approach to edge detection in nonparanormal graphical models ⋮ Correlation structure selection for longitudinal data with diverging cluster size ⋮ Discussion: Latent variable graphical model selection via convex optimization ⋮ Discussion: Latent variable graphical model selection via convex optimization ⋮ Discussion: Latent variable graphical model selection via convex optimization ⋮ Discussion: Latent variable graphical model selection via convex optimization ⋮ Discussion: Latent variable graphical model selection via convex optimization ⋮ Random matrix improved covariance estimation for a large class of metrics* ⋮ Estimation of a sparse and spiked covariance matrix ⋮ The impact of jumps and leverage in forecasting covolatility ⋮ Simultaneous sparse model selection and coefficient estimation for heavy-tailed autoregressive processes ⋮ An improved banded estimation for large covariance matrix ⋮ Two-step sparse boosting for high-dimensional longitudinal data with varying coefficients ⋮ Empirical likelihood test for the equality of several high-dimensional covariance matrices ⋮ Estimation of linear functional of large spectral density matrix and application to Whittle's approach ⋮ Maximum-type tests for high-dimensional regression coefficients using Wilcoxon scores ⋮ Nonparametric Bayesian learning of heterogeneous dynamic transcription factor networks ⋮ Model-based clustering of high-dimensional data: a review ⋮ Estimating sparse precision matrix: optimal rates of convergence and adaptive estimation ⋮ Estimation of inverse autocovariance matrices for long memory processes ⋮ A joint convex penalty for inverse covariance matrix estimation ⋮ A self-calibrated direct approach to precision matrix estimation and linear discriminant analysis in high dimensions ⋮ Stable estimation of a covariance matrix guided by nuclear norm penalties ⋮ Promote sign consistency in the joint estimation of precision matrices ⋮ Ensemble sparse estimation of covariance structure for exploring genetic disease data ⋮ An orthogonally equivariant estimator of the covariance matrix in high dimensions and for small sample sizes ⋮ Estimating large correlation matrices for international migration ⋮ Gaussian and robust Kronecker product covariance estimation: existence and uniqueness ⋮ More powerful tests for sparse high-dimensional covariances matrices ⋮ High-dimensional analysis of semidefinite relaxations for sparse principal components ⋮ Nonparametric eigenvalue-regularized precision or covariance matrix estimator ⋮ Optimal Bayesian minimax rates for unconstrained large covariance matrices ⋮ High dimensional covariance matrix estimation using a factor model ⋮ Model selection for factorial Gaussian graphical models with an application to dynamic regulatory networks ⋮ Limiting spectral distribution of large-dimensional sample covariance matrices generated by VARMA ⋮ Testing super-diagonal structure in high dimensional covariance matrices ⋮ Robust inference of risks of large portfolios ⋮ Implied basket correlation dynamics ⋮ Sharp minimax tests for large covariance matrices and adaptation ⋮ Testing a single regression coefficient in high dimensional linear models ⋮ High dimensional efficiency with applications to change point tests ⋮ Linear shrinkage estimation of large covariance matrices using factor models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A well-conditioned estimator for large-dimensional covariance matrices
• High dimensional covariance matrix estimation using a factor model
• Limit of the smallest eigenvalue of a large dimensional sample covariance matrix
• Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants
• A limit theorem for the norm of random matrices
• The strong limits of random matrix spectra for sample matrices of independent elements
• Some theory for Fisher's linear discriminant function, `naive Bayes', and some alternatives when there are many more variables than observations
• On the distribution of the largest eigenvalue in principal components analysis
• High-dimensional graphs and variable selection with the Lasso
• Perturbation des transformations autoadjointes dans l'espace de Hilbert
• Nonparametric estimation of large covariance matrices of longitudinal data
• First-Order Methods for Sparse Covariance Selection
• Automatic Local Smoothing for Spectral Density Estimation
• Covariance matrix selection and estimation via penalised normal likelihood
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
• Ridge Regression: Biased Estimation for Nonorthogonal Problems

This page was built for publication: Regularized estimation of large covariance matrices