Covariance selection by thresholding the sample correlation matrix

DOI10.1016/J.SPL.2013.07.008MaRDI QIDQ2438493zbMATH OpenOpenAlexFDO

Authors Binyan Jiang

Publication date 5 March 2014

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://ink.library.smu.edu.sg/sis_research/2049

zbMATH Keywords

Bernstein type inequalitylarge correlation matrixlarge covariance matrix

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Multivariate analysis (62H99)

Recommendations

• Covariance regularization by thresholding
• Generalized thresholding of large covariance matrices
• Threshold selection for covariance estimation
• Sparse covariance thresholding for high-dimensional variable selection
• Sparsistency and rates of convergence in large covariance matrix estimation

Cites work

• A Bernstein type inequality and moderate deviations for weakly dependent sequences
• Adaptive thresholding for sparse covariance matrix estimation
• Covariance regularization by thresholding
• Generalized thresholding of large covariance matrices
• scientific article; zbMATH DE number 3153627 (Why is no real title available?)
• scientific article; zbMATH DE number 1964693 (Why is no real title available?)
• On Gamma Function Inequalities
• On the sparsity of signals in a random sample
• Operator norm consistent estimation of large-dimensional sparse covariance matrices
• Probability Inequalities for the Sum of Independent Random Variables

Cited in

(6)

• Covariance regularization by thresholding
• An empirical estimator for the sparsity of a large covariance matrix under multivariate normal assumptions
• Threshold selection for covariance estimation
• Generalized thresholding of large covariance matrices
• Standardized Dempster's non-exact test for high-dimensional mean vectors
• Estimating Cell-Type-Specific Gene Co-Expression Networks from Bulk Gene Expression Data with an Application to Alzheimer’s Disease

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