Diagonally Dominant Principal Component Analysis (Q5066006)

scientific article; zbMATH DE number 7499299

Language	Label	Description	Also known as
English	Diagonally Dominant Principal Component Analysis	scientific article; zbMATH DE number 7499299

Statements

instance of

scholarly article

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title

Diagonally Dominant Principal Component Analysis (English)

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published in

Journal of Computational and Graphical Statistics

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publication date

28 March 2022

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full work available at URL

https://arxiv.org/abs/1906.00051

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zbMATH Keywords

alternating projection

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approximate factor model

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covariance matrix estimation

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decorrelation

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higher criticism

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POET

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describes a project that uses

Eigenstrat

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glasso

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MaRDI profile type

MaRDI publication profile

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cites work

Cones of diagonally dominant matrices

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Computing Accurate Eigensystems of Scaled Diagonally Dominant Matrices

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One-Step Huber Estimates in the Linear Model

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Adaptive Thresholding for Sparse Covariance Matrix Estimation

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A Constrainedℓ1Minimization Approach to Sparse Precision Matrix Estimation

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Robust principal component analysis?

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Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets

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The direct extension of ADMM for multi-block convex minimization problems is not necessarily convergent

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Principles and theory for data mining and machine learning

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Higher criticism for detecting sparse heterogeneous mixtures.

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Higher criticism thresholding: Optimal feature selection when useful features are rare and weak

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Higher criticism for large-scale inference, especially for rare and weak effects

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Transversality and alternating projections for nonconvex sets

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Common risk factors in the returns on stocks and bonds

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High-dimensional classification using features annealed independence rules

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Estimating False Discovery Proportion Under Arbitrary Covariance Dependence

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An overview of the estimation of large covariance and precision matrices

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High-dimensional covariance matrix estimation in approximate factor models

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Large Covariance Estimation by Thresholding Principal Orthogonal Complements

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Sufficient forecasting using factor models

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Strong oracle optimality of folded concave penalized estimation

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Optimal classification in sparse Gaussian graphic model

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Block diagonally dominant matrices and generalizations of the Gerschgorin circle theorem

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Sparse inverse covariance estimation with the graphical lasso

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Properties of higher criticism under strong dependence

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Innovated higher criticism for detecting sparse signals in correlated noise

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Partial correlation screening for estimating large precision matrices, with applications to classification

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Goodness-of-fit tests via phi-divergences

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Influential features PCA for high dimensional clustering

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A general framework for multiple testing dependence

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Global convergence of unmodified 3-block ADMM for a class of convex minimization problems

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Alternating Direction Methods for Latent Variable Gaussian Graphical Model Selection

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A Review on Dimension Reduction

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Q2713568

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Generalized Thresholding of Large Covariance Matrices

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An improved Bonferroni procedure for multiple tests of significance

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Variable Selection for Model-Based High-Dimensional Clustering and Its Application to Microarray Data

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Positive-Definite ℓ1-Penalized Estimation of Large Covariance Matrices

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One-step sparse estimates in nonconcave penalized likelihood models

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Identifiers

DOI

10.1080/10618600.2020.1713798

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5066006