Computationally efficient banding of large covariance matrices for ordered data and connections to banding the inverse Cholesky factor
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Cites work
- scientific article; zbMATH DE number 1136416 (Why is no real title available?)
- A new approach to Cholesky-based covariance regularization in high dimensions
- Ante-dependence Analysis of an Ordered Set of Variables
- Covariance estimation: the GLM and regularization perspectives
- Covariance-regularized regression and classification for high dimensional problems
- Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants
- Generating random correlation matrices based on partial correlations
- High dimensional covariance matrix estimation using a factor model
- Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation
- Modeling covariance matrices via partial autocorrelations
- Nonparametric estimation of large covariance matrices of longitudinal data
- On consistency and sparsity for principal components analysis in high dimensions
- Penalized Normal Likelihood and Ridge Regularization of Correlation and Covariance Matrices
- Regularized estimation of large covariance matrices
Cited in
(11)- Bandwidth selection for large covariance and precision matrices
- Forward adaptive banding for estimating large covariance matrices
- Hypothesis Tests for Structured Rank Correlation Matrices
- Learning local dependence in ordered data
- Cholesky-based model averaging for covariance matrix estimation
- Sparse estimation of large covariance matrices via a nested Lasso penalty
- An improved banded estimation for large covariance matrix
- D-trace estimation of a precision matrix using adaptive lasso penalties
- Graph-guided banding of the covariance matrix
- Bayesian estimation of correlation matrices of longitudinal data
- A new approach to Cholesky-based covariance regularization in high dimensions
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