Computationally efficient banding of large covariance matrices for ordered data and connections to banding the inverse Cholesky factor
DOI10.1016/J.JMVA.2014.04.026zbMATH Open1292.62082OpenAlexW2081488062WikidataQ30844234 ScholiaQ30844234MaRDI QIDQ2252883FDOQ2252883
Authors: Y. Wang, Michael J. Daniels 
Publication date: 24 July 2014
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2014.04.026
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Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20)
Cites Work
- Covariance-regularized regression and classification for high dimensional problems
- A new approach to Cholesky-based covariance regularization in high dimensions
- High dimensional covariance matrix estimation using a factor model
- Regularized estimation of large covariance matrices
- Penalized Normal Likelihood and Ridge Regularization of Correlation and Covariance Matrices
- On consistency and sparsity for principal components analysis in high dimensions
- Generating random correlation matrices based on partial correlations
- Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation
- Nonparametric estimation of large covariance matrices of longitudinal data
- Title not available (Why is that?)
- Covariance estimation: the GLM and regularization perspectives
- Modeling covariance matrices via partial autocorrelations
- Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants
- Ante-dependence Analysis of an Ordered Set of Variables
Cited In (11)
- Cholesky-based model averaging for covariance matrix estimation
- An improved banded estimation for large covariance matrix
- Learning local dependence in ordered data
- A new approach to Cholesky-based covariance regularization in high dimensions
- Sparse estimation of large covariance matrices via a nested Lasso penalty
- Forward adaptive banding for estimating large covariance matrices
- Hypothesis Tests for Structured Rank Correlation Matrices
- D-trace estimation of a precision matrix using adaptive lasso penalties
- Bandwidth selection for large covariance and precision matrices
- Bayesian estimation of correlation matrices of longitudinal data
- Graph-guided banding of the covariance matrix
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