A Cholesky-based estimation for large-dimensional covariance matrices
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Cites work
- A joint modelling approach for longitudinal studies
- A moving average Cholesky factor model in covariance modelling for longitudinal data
- A new approach to Cholesky-based covariance regularization in high dimensions
- A supplement on CLT for LSS under a large dimensional generalized spiked covariance model
- A well-conditioned estimator for large-dimensional covariance matrices
- Adaptive thresholding for sparse covariance matrix estimation
- Best permutation analysis
- Cholesky-based model averaging for covariance matrix estimation
- Cholesky-GARCH models with applications to finance
- Condition-number-regularized covariance estimation
- Covariance matrix selection and estimation via penalised normal likelihood
- Covariance regularization by thresholding
- Estimation of a covariance matrix under Stein's loss
- Forward adaptive banding for estimating large covariance matrices
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- Joint estimation of multiple graphical models
- Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation
- Nonparametric estimation of large covariance matrices of longitudinal data
- On the distribution of the largest eigenvalue in principal components analysis
- Partial correlation estimation by joint sparse regression models
- Positive-definite _1-penalized estimation of large covariance matrices
- Regularized estimation of large covariance matrices
- Simultaneous modelling of the Cholesky decomposition of several covariance matrices
- Some theory for Fisher's linear discriminant function, `naive Bayes', and some alternatives when there are many more variables than observations
- Sparse estimation of a covariance matrix
- Sparse estimation of large covariance matrices via a nested Lasso penalty
- Sparse permutation invariant covariance estimation
- Sparsistency and rates of convergence in large covariance matrix estimation
Cited in
(17)- A multiple testing approach to the regularisation of large sample correlation matrices
- Adaptive estimation of covariance matrices via Cholesky decomposition
- A scalable sparse Cholesky based approach for learning high-dimensional covariance matrices in ordered data
- Computationally efficient banding of large covariance matrices for ordered data and connections to banding the inverse Cholesky factor
- Sparse estimation of large covariance matrices via a nested Lasso penalty
- Local linear estimation of covariance matrices via Cholesky decomposition
- scientific article; zbMATH DE number 6719853 (Why is no real title available?)
- Application of matrix partitioning method to covariance matrix
- An improved modified cholesky decomposition approach for precision matrix estimation
- An improved banded estimation for large covariance matrix
- Cholesky-based model averaging for covariance matrix estimation
- Fused-Lasso Regularized Cholesky Factors of Large Nonstationary Covariance Matrices of Replicated Time Series
- On variable ordination of Cholesky‐based estimation for a sparse covariance matrix
- A new approach for ultrahigh-dimensional covariance matrix estimation
- Synthetic data generation method providing enhanced covariance matrix estimation
- 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
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