Calibrated Precision Matrix Estimation for High-Dimensional Elliptical Distributions

DOI10.1109/TIT.2014.2360980zbMATH Open1359.62194DBLPjournals/tit/ZhaoL14OpenAlexW2004907526WikidataQ35013800 ScholiaQ35013800MaRDI QIDQ2979176FDOQ2979176

Authors: Tuo Zhao, Han Liu 

Publication date: 2 May 2017

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tit.2014.2360980

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Estimation in multivariate analysis (62H12) Information theory (general) (94A15)

Cited In (11)

• Dependence in elliptical partial correlation graphs
• Structure learning of exponential family graphical model with false discovery rate control
• High-dimensional robust precision matrix estimation: cellwise corruption under \(\epsilon \)-contamination
• Estimation of the precision matrix of a singular Wishart distribution and its application in high-dimensional data
• High-dimensional Markowitz portfolio optimization problem: empirical comparison of covariance matrix estimators
• Unbiased risk estimates for matrix estimation in the elliptical case
• Contraction of a quasi-Bayesian model with shrinkage priors in precision matrix estimation
• Ultrahigh dimensional precision matrix estimation via refitted cross validation
• Post-regularization inference for time-varying nonparanormal graphical models
• Neyman's truncation test for two-sample means under high dimensional setting
• ROCKET: robust confidence intervals via Kendall's tau for transelliptical graphical models

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