Computationally efficient banding of large covariance matrices for ordered data and connections to banding the inverse Cholesky factor
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Publication:2252883
DOI10.1016/j.jmva.2014.04.026zbMath1292.62082OpenAlexW2081488062WikidataQ30844234 ScholiaQ30844234MaRDI QIDQ2252883
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
Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20)
Related Items (4)
Cholesky-based model averaging for covariance matrix estimation ⋮ D-trace estimation of a precision matrix using adaptive lasso penalties ⋮ Bayesian estimation of correlation matrices of longitudinal data ⋮ Hypothesis Tests for Structured Rank Correlation Matrices
Uses Software
Cites Work
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