Adaptive estimation of covariance matrices via Cholesky decomposition

DOI10.1214/10-EJS580zbMath1329.62265arXiv1010.1445MaRDI QIDQ1952094

Nicolas Verzelen

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/1010.1445

zbMATH Keywords

covariance matrixCholesky decompositionbandingminimax rate of estimationpenalized criteriondirected graphical models

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (4)

Optimal Bayesian minimax rates for unconstrained large covariance matrices ⋮ Estimating Large Precision Matrices via Modified Cholesky Decomposition ⋮ An improved central difference Kalman filter for satellite attitude estimation with state mutation ⋮ Variable selection and joint estimation of mean and covariance models with an application to eQTL data

Uses Software

• pcalg
• glasso

Cites Work

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