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

adaptive estimationcovariance matrixthresholdingtuning parameter selection

Mathematics Subject Classification ID

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

Recommendations

• Covariance regularization by thresholding
• Adaptive thresholding for sparse covariance matrix estimation
• Generalized thresholding of large covariance matrices
• Covariance selection by thresholding the sample correlation matrix
• Adaptive covariance matrix estimation through block thresholding

Cited in

(9)

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

This page was built for publication: Threshold selection for covariance estimation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5214564)