High-dimensional mean estimation via _1 penalized normal likelihood

DOI10.1016/J.JMVA.2014.05.005MaRDI QIDQ2252887zbMATH OpenOpenAlexFDO

Authors Shota Katayama

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.2014.05.005

zbMATH Keywords

consistencyhigh-dimensional datamean squared errorpenalized normal likelihoodsign recovery

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

Recommendations

• Regularized parameter estimation of high dimensional distribution
• On simultaneous confidence interval estimation for the difference of paired mean vectors in high-dimensional settings
• High dimensional covariance matrix estimation by penalizing the matrix-logarithm transformed likelihood
• Improved multivariate normal mean estimation with unknown covariance when \(p\) is greater than \(n\)
• A combined \(p\)-value test for the mean difference of high-dimensional data

Cites work

• scientific article; zbMATH DE number 5957408 (Why is no real title available?)
• scientific article; zbMATH DE number 720689 (Why is no real title available?)
• scientific article; zbMATH DE number 2146311 (Why is no real title available?)
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• scientific article; zbMATH DE number 889593 (Why is no real title available?)
• A High Dimensional Two Sample Significance Test
• A Significance Test for the Separation of Two Highly Multivariate Small Samples
• A direct estimation approach to sparse linear discriminant analysis
• A test for the mean vector with fewer observations than the dimension
• A two sample test in high dimensional data
• A two-sample test for high-dimensional data with applications to gene-set testing
• A well-conditioned estimator for large-dimensional covariance matrices
• Adaptive thresholding for sparse covariance matrix estimation
• Asymptotic properties of bridge estimators in sparse high-dimensional regression models
• Asymptotics for Lasso-type estimators.
• Comparison of Discrimination Methods for High Dimensional Data
• Covariance regularization by thresholding
• Generalizations of the familywise error rate
• Generalized thresholding of large covariance matrices
• High-dimensional classification using features annealed independence rules
• Lasso-type recovery of sparse representations for high-dimensional data
• Nonconcave Penalized Likelihood With NP-Dimensionality
• Nonconcave penalized likelihood with a diverging number of parameters.
• On the distribution of the largest eigenvalue in principal components analysis
• Pathwise coordinate optimization
• Shrinkage tuning parameter selection with a diverging number of parameters
• Sparse covariance thresholding for high-dimensional variable selection
• Sparse linear discriminant analysis by thresholding for high dimensional data
• The Adaptive Lasso and Its Oracle Properties
• Tuning parameter selection in high dimensional penalized likelihood
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

(1)

• Estimating the mean and variance of a high-dimensional normal distribution using a mixture prior

This page was built for publication: High-dimensional mean estimation via \(\ell_1\) penalized normal likelihood

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2252887)