Regularized estimation of precision matrix for high-dimensional multivariate longitudinal data

DOI10.1016/j.jmva.2019.104580zbMath1435.62190OpenAlexW2995084795WikidataQ126563462 ScholiaQ126563462MaRDI QIDQ2293546

Chen Yu, Zhang Weiping, Qian Fang

Publication date: 5 February 2020

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2019.104580

zbMATH Keywords

precision matrixblock Cholesky decompositionbanded block structurebiconvexhigh-dimensional longitudinal data

Mathematics Subject Classification ID

Directional data; spatial statistics (62H11) Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07)

Related Items

Estimation of banded time-varying precision matrix based on SCAD and group Lasso

Uses Software

• glasso

Cites Work

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