Precision matrix estimation under data contamination with an application to minimum variance portfolio selection

DOI10.1080/03610918.2019.1668012MaRDI QIDQ5082899zbMATH OpenOpenAlexFDO

Authors Vahe Avagyan, Xiaoling Mei

Publication date 21 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2019.1668012

zbMATH Keywords

Gaussian graphical modelhigh-dimensional datarobust estimationminimum variance portfoliodata contamination

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

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• A constrained \(\ell _{1}\) minimization approach to sparse precision matrix estimation
• A well-conditioned estimator for large-dimensional covariance matrices
• Alternatives to the Median Absolute Deviation
• D-trace estimation of a precision matrix using adaptive lasso penalties
• Dominating estimators for minimum-variance portfolios
• First-Order Methods for Sparse Covariance Selection
• High-dimensional graphs and variable selection with the Lasso
• High-dimensional robust precision matrix estimation: cellwise corruption under \(\epsilon \)-contamination
• Model selection and estimation in the Gaussian graphical model
• Model selection through sparse maximum likelihood estimation for multivariate Gaussian or binary data
• Network exploration via the adaptive LASSO and SCAD penalties
• Partial correlation estimation by joint sparse regression models
• Robust estimation of multivariate location and scatter in the presence of cellwise and casewise contamination
• Robust estimation of precision matrices under cellwise contamination
• Sparse inverse covariance estimation with the graphical lasso
• Sparse permutation invariant covariance estimation
• Sparse precision matrix estimation via lasso penalized D-trace loss

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• glasso

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