Computationally efficient banding of large covariance matrices for ordered data and connections to banding the inverse Cholesky factor

DOI10.1016/j.jmva.2014.04.026zbMath1292.62082OpenAlexW2081488062WikidataQ30844234 ScholiaQ30844234MaRDI QIDQ2252883

Michael J. Daniels, Y. Wang

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

zbMATH Keywords

hypothesis testingpartial autocorrelationshigh-dimensional covariance matrices

Mathematics Subject Classification ID

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

• scout

Cites Work

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• Ante-dependence Analysis of an Ordered Set of Variables
• Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation
• On Consistency and Sparsity for Principal Components Analysis in High Dimensions

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