Positive definite estimators of large covariance matrices

DOI10.1093/BIOMET/ASS025zbMATH Open1437.62595OpenAlexW2097515331MaRDI QIDQ2913862FDOQ2913862

Authors: Adam J. Rothman 

Publication date: 21 September 2012

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/ass025

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zbMATH Keywords

classificationhigh-dimensional dataconvex optimizationsparsitybarrier function

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10) Estimation in multivariate analysis (62H12)

Cited In (55)

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• A phase I change‐point method for high‐dimensional process with sparse mean shifts
• Optimal Sparse Linear Prediction for Block-missing Multi-modality Data Without Imputation
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• Estimation and optimal structure selection of high-dimensional Toeplitz covariance matrix
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• Robust Shape Matrix Estimation for High-Dimensional Compositional Data with Application to Microbial Inter-Taxa Analysis
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• Positive-definite modification of a covariance matrix by minimizing the matrix \(\ell_{\infty}\) norm with applications to portfolio optimization
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• Model-based clustering with sparse covariance matrices
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• A dual active-set proximal Newton algorithm for sparse approximation of correlation matrices
• Double shrinkage estimators for large sparse covariance matrices
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• Detecting changes in mean in the presence of time-varying autocovariance
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• HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
• A constrained \(\ell1\) minimization approach for estimating multiple sparse Gaussian or nonparanormal graphical models
• On the penalized maximum likelihood estimation of high-dimensional approximate factor model
• Sparse Minimum Discrepancy Approach to Sufficient Dimension Reduction with Simultaneous Variable Selection in Ultrahigh Dimension
• Sparse Covariance Matrix Estimation by DCA-Based Algorithms
• Sparse basis covariance matrix estimation for high dimensional compositional data via hard thresholding
• Model selection by pathwise marginal likelihood thresholding
• 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
• A comparison of methods for estimating the determinant of high-dimensional covariance matrix
• Sparse covariance matrix estimation for ultrahigh dimensional data
• Direct covariance matrix estimation with compositional data

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