High-dimensional correlation matrix estimation for general continuous data with Bagging technique
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Publication:2102349
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Cites work
- scientific article; zbMATH DE number 1249686 (Why is no real title available?)
- scientific article; zbMATH DE number 1556163 (Why is no real title available?)
- A Random Matrix-Theoretic Approach to Handling Singular Covariance Estimates
- A well-conditioned estimator for large-dimensional covariance matrices
- Adaptive thresholding for sparse covariance matrix estimation
- An overview of the estimation of large covariance and precision matrices
- Bagging predictors
- Banding sample autocovariance matrices of stationary processes
- Computation of multivariate normal and \(t\) probabilities
- Covariance regularization by thresholding
- Estimation of the global minimum variance portfolio in high dimensions
- Generalized thresholding of large covariance matrices
- Improved Estimation of Eigenvalues and Eigenvectors of Covariance Matrices Using Their Sample Estimates
- Minimax estimation of large covariance matrices under \(\ell_1\)-norm
- New Methods for Handling Singular Sample Covariance Matrices
- On the distribution of the largest eigenvalue in principal components analysis
- Optimal rates of convergence for covariance matrix estimation
- Random matrices: Universality of local eigenvalue statistics up to the edge
- Regularized estimation of large covariance matrices
- Retaining positive definiteness in thresholded matrices
- Sparse inverse covariance estimation with the graphical lasso
- The asymptotic variance matrix of the sample correlation matrix
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