NOVELIST estimator of large correlation and covariance matrices and their inverses

DOI10.1007/S11749-018-0592-4zbMATH Open1420.62140OpenAlexW2867852454MaRDI QIDQ2273174FDOQ2273174

Authors: Na Huang, P. Fryzlewicz 

Publication date: 18 September 2019

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11749-018-0592-4

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zbMATH Keywords

high dimensionalitylong memoryhigh-dimensional covariancecovariance regularisationnon-sparse modellingsingular sample covariance

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Estimation in multivariate analysis (62H12)

Cites Work

• Regularized linear discriminant analysis and its application in microarrays
• The Adaptive Lasso and Its Oracle Properties
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
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• Covariance regularization by thresholding
• A well-conditioned estimator for large-dimensional covariance matrices
• Nonlinear shrinkage estimation of large-dimensional covariance matrices
• Sparse inverse covariance estimation with the graphical lasso
• Sparse permutation invariant covariance estimation
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• Title not available (Why is that?)
• Principal component analysis based on robust estimators of the covariance or correlation matrix: influence functions and efficiencies
• Operator norm consistent estimation of large-dimensional sparse covariance matrices
• Nonparametric estimation of large covariance matrices of longitudinal data
• Adaptive thresholding for sparse covariance matrix estimation
• Generalized thresholding of large covariance matrices
• Eigenvectors of some large sample covariance matrix ensembles
• Optimal rates of convergence for covariance matrix estimation
• Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
• Nonparametric eigenvalue-regularized precision or covariance matrix estimator
• High-dimensional volatility matrix estimation via wavelets and thresholding
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• Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants
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• Bayesian estimation of the dispersion matrix of a multivariate normal distribution

Cited In (3)

• High-dimensional covariance matrix estimation
• Detection of Multiple Structural Breaks in Large Covariance Matrices
• Variable selection for censored data using modified correlation adjusted correlation (MCAR) scores

Uses Software

• rda
• glasso

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