Estimation of large covariance and precision matrices from temporally dependent observations (Q2414089)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of large covariance and precision matrices from temporally dependent observations |
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Estimation of large covariance and precision matrices from temporally dependent observations (English)
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10 May 2019
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The paper puts forward a methodology for the estimation of large covariance and precision metrics from temporal dependent observations. Different properties are demonstrated. Parameter tuning is also treated. The approach is additionally used for a real-world scenario, i.e. MRI time series data with long-range temporal dependence.
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precision matrix
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large covariance
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temporal dependence
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