Sparse covariance estimation in heterogeneous samples
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Publication:1952215
DOI10.1214/11-EJS634zbMath1274.62207arXiv1001.4208WikidataQ38630534 ScholiaQ38630534MaRDI QIDQ1952215
Adrian Dobra, Abel Rodríguez, Alex Lenkoski
Publication date: 28 May 2013
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1001.4208
hidden Markov model; Dirichlet process; mixture model; Gaussian graphical model; covariance selection; nonparametric Bayes inference
62P20: Applications of statistics to economics
62H25: Factor analysis and principal components; correspondence analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62H30: Classification and discrimination; cluster analysis (statistical aspects)
62F15: Bayesian inference
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Uses Software
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