Eigen structure of a new class of covariance and inverse covariance matrices

DOI10.3150/16-BEJ840zbMATH Open1388.62149OpenAlexW2620312635MaRDI QIDQ2405151FDOQ2405151

Authors: Heather Battey 

Publication date: 21 September 2017

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1495505088

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zbMATH Keywords

precision matrixcovariance matrixspectral theorymatrix logarithm

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12) Random matrices (algebraic aspects) (15B52)

Cited In (3)

• Inducement of population sparsity
• Covariance Model with General Linear Structure and Divergent Parameters
• Estimating the covariance of random matrices

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