Shrinking the Covariance Matrix Using Convex Penalties on the Matrix-Log Transformation

DOI10.1080/10618600.2020.1814788MaRDI QIDQ5066396zbMATH OpenOpenAlexFDO

Authors Mengxi Yi, David E. Tyler

Publication date 29 March 2022

Published in Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10618600.2020.1814788

zbMATH Keywords

geodesic convexityNewton-Raphson algorithmpenalized likelihood

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A canonical definition of shape
• A Differential Geometric Approach to the Geometric Mean of Symmetric Positive-Definite Matrices
• All convex invariant functions of hermitian matrices
• Conic geometric optimization on the manifold of positive definite matrices
• High dimensional covariance matrix estimation by penalizing the matrix-logarithm transformed likelihood
• scientific article; zbMATH DE number 3928102 (Why is no real title available?)
• Iterative Solution of Nonlinear Equations in Several Variables
• Lassoing eigenvalues
• Majorization, doubly stochastic matrices, and comparison of eigenvalues
• Model selection and estimation in the Gaussian graphical model
• Multivariate Generalized Gaussian Distribution: Convexity and Graphical Models
• Optimal rates of convergence for covariance matrix estimation
• Regularized estimation of large covariance matrices
• Sparse inverse covariance estimation with the graphical lasso
• Sparsistency and rates of convergence in large covariance matrix estimation
• Structured robust covariance estimation
• Unified Framework to Regularized Covariance Estimation in Scaled Gaussian Models

Cited in

(3)

• Shrinking the Sample Covariance Matrix using Convex Penalties on the Matrix-Log Transformation
• An analysis of David E. Tyler's publication and coauthor network
• Why study spherical convexity of non-homogeneous quadratics and what makes it surprising?

Describes a project that uses

Uses Software

• glasso

This page was built for publication: Shrinking the Covariance Matrix Using Convex Penalties on the Matrix-Log Transformation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5066396)