Covariance estimation for wide data
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Cites work
- A calibration method for non-positive definite covariance matrix in multivariate data analysis
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- A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix
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- A well-conditioned estimator for large-dimensional covariance matrices
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- Adaptive thresholding for sparse covariance matrix estimation
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- Analytical nonlinear shrinkage of large-dimensional covariance matrices
- Common risk factors in the returns on stocks and bonds
- Computing the nearest correlation matrix--a problem from finance
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- Dynamic Equicorrelation
- Eigenvalues of large sample covariance matrices of spiked population models
- Eigenvectors of some large sample covariance matrix ensembles
- Fast and adaptive sparse precision matrix estimation in high dimensions
- Generalized thresholding of large covariance matrices
- Geometric Means in a Novel Vector Space Structure on Symmetric Positive‐Definite Matrices
- High dimensional inverse covariance matrix estimation via linear programming
- High-dimensional covariance estimation based on Gaussian graphical models
- High-dimensional graphs and variable selection with the Lasso
- scientific article; zbMATH DE number 3122730 (Why is no real title available?)
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- scientific article; zbMATH DE number 720689 (Why is no real title available?)
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- Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
- Lectures on the theory of estimation of many parameters
- Lower Limit for the Energy Derivative of the Scattering Phase Shift
- Matrix estimation by universal singular value thresholding
- Model selection through sparse maximum likelihood estimation for multivariate Gaussian or binary data
- Nearly unbiased variable selection under minimax concave penalty
- Non-Parametric Detection of the Number of Signals: Hypothesis Testing and Random Matrix Theory
- Nonlinear shrinkage estimation of large-dimensional covariance matrices
- Numerical implementation of the QuEST function
- On the distribution of the largest eigenvalue in principal components analysis
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- Optimal shrinkage of eigenvalues in the spiked covariance model
- Partial correlation estimation by joint sparse regression models
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- Quadratic shrinkage for large covariance matrices
- RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
- Random matrix theory in statistics: a review
- Ridge estimation of inverse covariance matrices from high-dimensional data
- Ridge Regularization: An Essential Concept in Data Science
- Shrinkage estimation of large covariance matrices: keep it simple, statistician?
- Sparse inverse covariance estimation with the graphical lasso
- Sparse matrix inversion with scaled Lasso
- Sparse permutation invariant covariance estimation
- Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
- The control of the false discovery rate in multiple testing under dependency.
- The Influence Curve and Its Role in Robust Estimation
- The macroeconomy and the yield curve: a dynamic latent factor approach
- TIGER: A tuning-insensitive approach for optimally estimating Gaussian graphical models
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
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