High-dimensional correlation matrix estimation for general continuous data with Bagging technique
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Publication:2102349
DOI10.1007/S10994-022-06138-3OpenAlexW4221091040MaRDI QIDQ2102349FDOQ2102349
Authors: Chaojie Wang, Jin Du, Xiaodan Fan 
Publication date: 28 November 2022
Published in: Machine Learning (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10994-022-06138-3
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Cites Work
- Bagging predictors
- Computation of multivariate normal and \(t\) probabilities
- Covariance regularization by thresholding
- A well-conditioned estimator for large-dimensional covariance matrices
- Sparse inverse covariance estimation with the graphical lasso
- On the distribution of the largest eigenvalue in principal components analysis
- Regularized estimation of large covariance matrices
- The asymptotic variance matrix of the sample correlation matrix
- Estimation of the global minimum variance portfolio in high dimensions
- Title not available (Why is that?)
- Title not available (Why is that?)
- Adaptive thresholding for sparse covariance matrix estimation
- Improved Estimation of Eigenvalues and Eigenvectors of Covariance Matrices Using Their Sample Estimates
- Banding sample autocovariance matrices of stationary processes
- An overview of the estimation of large covariance and precision matrices
- Generalized thresholding of large covariance matrices
- Minimax estimation of large covariance matrices under \(\ell_1\)-norm
- Optimal rates of convergence for covariance matrix estimation
- Random matrices: Universality of local eigenvalue statistics up to the edge
- Retaining positive definiteness in thresholded matrices
- New Methods for Handling Singular Sample Covariance Matrices
- A Random Matrix-Theoretic Approach to Handling Singular Covariance Estimates
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