Estimating Hierarchically Rank Structured Covariance Matrices (Q7345532)
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| English | Estimating Hierarchically Rank Structured Covariance Matrices |
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Estimating Hierarchically Rank Structured Covariance Matrices (English)
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9 September 2026
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stat.CO
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math.NA
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Robin Armstrong
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Anil Damle
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Samuel E. Otto
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We introduce a hierarchical rank structure for estimating high-dimensional covariance matrices from small sample sizes. Our approach accommodates smooth long-range correlations while achieving efficient matrix-vector products through data-sparse representation.
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Hierarchical
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Covariance Matrix
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Rank Structured
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Regularization
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