High dimensional sparse covariance estimation via directed acyclic graphs
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Publication:1952020
DOI10.1214/09-EJS534zbMath1326.62124arXiv0911.2375OpenAlexW3105320479MaRDI QIDQ1952020
Philipp Rütimann, Peter Bühlmann
Publication date: 27 May 2013
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0911.2375
covariance matrixhigh-dimensional datadirected acyclic graphsgraphical LassoPC-algorithmconcentration matrix
Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Graphical methods in statistics (62A09)
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Covariance structure approximation via gLasso in high-dimensional supervised classification ⋮ Estimating Large Precision Matrices via Modified Cholesky Decomposition ⋮ A permutation-based Bayesian approach for inverse covariance estimation ⋮ Bayesian inference of causal effects from observational data in Gaussian graphical models ⋮ Scalable Bayesian high-dimensional local dependence learning ⋮ Consistent Bayesian sparsity selection for high-dimensional Gaussian DAG models with multiplicative and beta-mixture priors ⋮ Remodeling and estimation for sparse partially linear regression models ⋮ A general framework for Vecchia approximations of Gaussian processes ⋮ Posterior graph selection and estimation consistency for high-dimensional Bayesian DAG models ⋮ Cross-Dimensional Inference of Dependent High-Dimensional Data ⋮ Minimax posterior convergence rates and model selection consistency in high-dimensional DAG models based on sparse Cholesky factors
Uses Software
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