Calibrated Precision Matrix Estimation for High-Dimensional Elliptical Distributions

DOI10.1109/TIT.2014.2360980MaRDI QIDQ2979176zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Tuo Zhao, Han Liu

Publication date 2 May 2017

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tit.2014.2360980

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Estimation in multivariate analysis (62H12) Information theory (general) (94A15)

Cited in

(14)

• High-dimensional robust precision matrix estimation: cellwise corruption under \(\epsilon \)-contamination
• ROCKET: robust confidence intervals via Kendall's tau for transelliptical graphical models
• Neyman's truncation test for two-sample means under high dimensional setting
• Contraction of a quasi-Bayesian model with shrinkage priors in precision matrix estimation
• Dependence in elliptical partial correlation graphs
• Ultrahigh dimensional precision matrix estimation via refitted cross validation
• Unbiased risk estimates for matrix estimation in the elliptical case
• Post-regularization inference for time-varying nonparanormal graphical models
• High-dimensional Markowitz portfolio optimization problem: empirical comparison of covariance matrix estimators
• Structure learning of exponential family graphical model with false discovery rate control
• Large Precision Matrix Estimation with Unknown Group Structure
• A Novel Approach of High Dimensional Linear Hypothesis Testing Problem
• On sufficient dimension reduction methods based on a graphical model with non-concave penalty
• Estimation of the precision matrix of a singular Wishart distribution and its application in high-dimensional data

This page was built for publication: Calibrated Precision Matrix Estimation for High-Dimensional Elliptical Distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2979176)