NOVELIST estimator of large correlation and covariance matrices and their inverses

DOI10.1007/S11749-018-0592-4MaRDI QIDQ2273174zbMATH OpenOpenAlexFDO

Authors Na Huang, P. Fryzlewicz

Publication date 18 September 2019

Published in Test (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

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

zbMATH Keywords

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

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 4213315 (Why is no real title available?)
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• scientific article; zbMATH DE number 3221764 (Why is no real title available?)
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• Generalized thresholding of large covariance matrices
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• High-dimensional volatility matrix estimation via wavelets and thresholding
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• Nonlinear shrinkage estimation of large-dimensional covariance matrices
• Nonparametric eigenvalue-regularized precision or covariance matrix estimator
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• Operator norm consistent estimation of large-dimensional sparse covariance matrices
• Optimal rates of convergence for covariance matrix estimation
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• Regularized estimation of large covariance matrices
• Regularized linear discriminant analysis and its application in microarrays
• Sparse inverse covariance estimation with the graphical lasso
• Sparse permutation invariant covariance estimation
• Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
• The Adaptive Lasso and Its Oracle Properties
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

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

Describes a project that uses

Uses Software

• glasso
• rda

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