Positive definite estimators of large covariance matrices
From MaRDI portal
Publication:2913862
Recommendations
- Positive-definite \(\ell_1\)-penalized estimation of large covariance matrices
- Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage
- Sparsistency and rates of convergence in large covariance matrix estimation
- Sparse estimation of a covariance matrix
- Sparse estimation of high-dimensional correlation matrices
Cited in
(55)- On the existence of positive-definite maximum-likelihood estimates of structured covariance matrices
- On strict positive definiteness of product and product-sum covariance models
- Sparse basis covariance matrix estimation for high dimensional compositional data via hard thresholding
- Sparse estimation of high-dimensional correlation matrices
- Estimation of a sparse and spiked covariance matrix
- Efficient estimation of approximate factor models via penalized maximum likelihood
- Construction, properties and statistical applications of positive definite intraclass matrix
- Positive semidefiniteness of estimated covariance matrices in linear models for sample survey data
- Regularization for high-dimensional covariance matrix
- scientific article; zbMATH DE number 4110855 (Why is no real title available?)
- High dimensional covariance matrix estimation by penalizing the matrix-logarithm transformed likelihood
- An efficient algorithm for sparse inverse covariance matrix estimation based on dual formulation
- High dimensional minimum variance portfolio estimation under statistical factor models
- Covariance estimation via sparse Kronecker structures
- A multiple testing approach to the regularisation of large sample correlation matrices
- Sparse minimum discrepancy approach to sufficient dimension reduction with simultaneous variable selection in ultrahigh dimension
- Sparse covariance matrix estimation by DCA-based algorithms
- Trend locally stationary wavelet processes
- Model selection by pathwise marginal likelihood thresholding
- A phase I change‐point method for high‐dimensional process with sparse mean shifts
- Positive-definite \(\ell_1\)-penalized estimation of large covariance matrices
- Positive-definite thresholding estimators of covariance matrices with zeros
- Estimation and optimal structure selection of high-dimensional Toeplitz covariance matrix
- Sparse covariance matrix estimation in high-dimensional deconvolution
- Enhancing Estimation for Interest Rate Diffusion Models With Bond Prices
- Envelope-based partial partial least squares with application to cytokine-based biomarker analysis for COVID-19
- Robust Shape Matrix Estimation for High-Dimensional Compositional Data with Application to Microbial Inter-Taxa Analysis
- Covariance estimation via fiducial inference
- Sparse and low-rank covariance matrix estimation
- Non-asymptotic error controlled sparse high dimensional precision matrix estimation
- A comparison of methods for estimating the determinant of high-dimensional covariance matrix
- Covariance function versus covariance matrix estimation in efficient semi-parametric regression for longitudinal data analysis
- An empirical estimator for the sparsity of a large covariance matrix under multivariate normal assumptions
- A stable and adaptive polygenic signal detection method based on repeated sample splitting
- Envelope-based sparse reduced-rank regression for multivariate linear model
- Positive-definite modification of a covariance matrix by minimizing the matrix \(\ell_{\infty}\) norm with applications to portfolio optimization
- Improved shrinkage estimator of large-dimensional covariance matrix under the complex Gaussian distribution
- Stable portfolio selection strategy for mean-variance-CVaR model under high-dimensional scenarios
- Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage
- Model-based clustering with sparse covariance matrices
- D-trace estimation of a precision matrix using adaptive lasso penalties
- Optimal sparse linear prediction for block-missing multi-modality data without imputation
- A dual active-set proximal Newton algorithm for sparse approximation of correlation matrices
- Double shrinkage estimators for large sparse covariance matrices
- Sparse graphical models via calibrated concave convex procedure with application to fMRI data
- A constrained \(\ell1\) minimization approach for estimating multiple sparse Gaussian or nonparanormal graphical models
- Estimation of sparse covariance matrix via non-convex regularization
- On the penalized maximum likelihood estimation of high-dimensional approximate factor model
- Detecting changes in mean in the presence of time-varying autocovariance
- Nonasymptotic support recovery for high-dimensional sparse covariance matrices
- HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
- Some statistical problems with high dimensional financial data
- Sparse covariance matrix estimation for ultrahigh dimensional data
- Direct covariance matrix estimation with compositional data
- Graph-guided banding of the covariance matrix
This page was built for publication: Positive definite estimators of large covariance matrices
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2913862)
