Threshold selection for covariance estimation

DOI10.1111/BIOM.13048MaRDI QIDQ5214564zbMATH OpenOpenAlexWikidataFDO

Authors Yumou Qiu, Janaka S. S. Liyanage

Publication date 7 February 2020

Published in Biometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/biom.13048

zbMATH Keywords

covariance matrixthresholdingtuning parameter selectionadaptive estimation

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10) Statistical ranking and selection procedures (62F07) Estimation in multivariate analysis (62H12) Analysis of variance and covariance (ANOVA) (62J10) Protein sequences, DNA sequences (92D20)

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Cited in

(8)

• Bandwidth selection for large covariance and precision matrices
• Adaptive covariance matrix estimation through block thresholding
• Positive-definite thresholding estimators of covariance matrices with zeros
• Nonasymptotic support recovery for high-dimensional sparse covariance matrices
• Adaptive thresholding for sparse covariance matrix estimation
• Covariance selection by thresholding the sample correlation matrix
• Covariance regularization by thresholding
• scientific article; zbMATH DE number 1759579 (Why is no real title available?)

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