Threshold selection for covariance estimation

DOI10.1111/BIOM.13048zbMATH Open1436.62622OpenAlexW2919239322WikidataQ92029729 ScholiaQ92029729MaRDI QIDQ5214564FDOQ5214564

Janaka S. S. Liyanage, Yumou Qiu

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)

Cited In (4)

• Positive-definite thresholding estimators of covariance matrices with zeros
• Bandwidth selection for large covariance and precision matrices
• Nonasymptotic support recovery for high-dimensional sparse covariance matrices
• Title not available (Why is that?)

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