Non-asymptotic error controlled sparse high dimensional precision matrix estimation

DOI10.48550/arXiv.1903.10988zbMath1461.62066arXiv1903.10988OpenAlexW2924593118MaRDI QIDQ145307

Adam B Kashlak, Adam B. Kashlak

Publication date: 26 March 2019

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.10988

zbMATH Keywords

random matrix theoryfalse discovery rateGaussian graphical modelsdebiased estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to biology and medical sciences; meta analysis (62P10) Nonparametric estimation (62G05) Random matrices (probabilistic aspects) (60B20) Protein sequences, DNA sequences (92D20) Paired and multiple comparisons; multiple testing (62J15) Probabilistic graphical models (62H22)

Related Items (1)

sparseMatEst

Uses Software

• glasso
• FASTCLIME
• spcov
• sparseMatEst

Cites Work

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• Covariance regularization by thresholding
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• Regularized estimation of large covariance matrices
• Positive definite estimators of large covariance matrices
• Confidence Intervals and Hypothesis Testing for High-Dimensional Regression
• A Constrainedℓ₁Minimization Approach to Sparse Precision Matrix Estimation
• Adaptive Thresholding for Sparse Covariance Matrix Estimation
• Some estimates of norms of random matrices
• An overview of the estimation of large covariance and precision matrices
• Generalized Thresholding of Large Covariance Matrices

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