High-dimensional covariance matrix estimation
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Cites work
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Cited in
(15)- A new robust covariance matrix estimation for high-dimensional microbiome data
- Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach
- Sample and realized minimum variance portfolios: estimation, statistical inference, and tests
- Penalized Estimation of Sparse Markov Regime-Switching Vector Auto-Regressive Models
- Rank-based correlation matrix estimation for high dimensional microbiome data
- Robust distributed precision matrix estimation for high-dimensional data
- Model-based clustering for covariance matrices via penalized Wishart mixture models
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- Minimum kernel discrepancy estimators
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- Precision Least Squares: Estimation and Inference in High-Dimensions
- High-dimensional covariance estimation by pairwise likelihood truncation
- Linear Model Estimation and Prediction for p > n
- Should we augment large covariance matrix estimation with auxiliary network information?
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