Estimating high-dimensional covariance and precision matrices under general missing dependence

DOI10.1214/21-EJS1892zbMath1493.62319arXiv2006.04632OpenAlexW3207565821MaRDI QIDQ2074279

Xinlei Wang, Johan Lim, Seongoh Park

Publication date: 9 February 2022

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.04632

zbMATH Keywords

covariance matrixconvergence rateinverse probability weightingdependent missing structureelement-wise maximum norm

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Inequalities; stochastic orderings (60E15)

Related Items (3)

An overview of heavy-tail extensions of multivariate Gaussian distribution and their relations ⋮ Sparse precision matrix estimation with missing observations ⋮ Monitoring multivariate data with high missing rate by pooling univariate statistics

Uses Software

• Hmisc
• RegEM
• glasso
• huge
• MICE
• FASTCLIME
• QUIC
• impute

Cites Work

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