Generalized Thresholding of Large Covariance Matrices
From MaRDI portal
Publication:5256116
DOI10.1198/jasa.2009.0101zbMath1388.62170OpenAlexW2057535756MaRDI QIDQ5256116
Adam J. Rothman, Ji Zhu, Elizaveta Levina
Publication date: 22 June 2015
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/jasa.2009.0101
Ridge regression; shrinkage estimators (Lasso) (62J07) Measures of association (correlation, canonical correlation, etc.) (62H20)
Related Items
Covariance estimation via fiducial inference, Factor analysis of correlation matrices when the number of random variables exceeds the sample size, A Minimum Discrepancy Approach With Fourier Transform in Sufficient Dimension Reduction, Matrix compression along isogenic blocks, Cross-Validated Loss-based Covariance Matrix Estimator Selection in High Dimensions, Gaussian Patch Mixture Model Guided Low-Rank Covariance Matrix Minimization for Image Denoising, Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions, Trace Ratio Optimization for High-Dimensional Multi-Class Discrimination, A Compound Decision Approach to Covariance Matrix Estimation, On variable ordination of Cholesky‐based estimation for a sparse covariance matrix, A new approach for ultrahigh-dimensional covariance matrix estimation, Robust Shape Matrix Estimation for High-Dimensional Compositional Data with Application to Microbial Inter-Taxa Analysis, Covariance structure estimation with Laplace approximation, Estimating large‐dimensional connectedness tables: The great moderation through the lens of sectoral spillovers, Totally positive kernels, Pólya frequency functions, and their transforms, An efficient GPU-parallel coordinate descent algorithm for sparse precision matrix estimation via scaled Lasso, Simultaneous test for linear model via projection, Large volatility matrix analysis using global and national factor models, Block-diagonal precision matrix regularization for ultra-high dimensional data, A DC Programming Approach for Sparse Estimation of a Covariance Matrix, Post-processed posteriors for sparse covariances, Optimal covariance matrix estimation for high-dimensional noise in high-frequency data, Realized regression with asynchronous and noisy high frequency and high dimensional data, Power enhancement for testing multi-factor asset pricing models via Fisher's method, An adjoint-free four-dimensional variational data assimilation method via a modified Cholesky decomposition and an iterative Woodbury matrix formula, Positive-definite thresholding estimators of covariance matrices with zeros, A unified precision matrix estimation framework via sparse column-wise inverse operator under weak sparsity, Unnamed Item, Local Whittle estimation of high-dimensional long-run variance and precision matrices, Detection of Multiple Structural Breaks in Large Covariance Matrices, Robust Covariance Matrix Estimation for High-Dimensional Compositional Data with Application to Sales Data Analysis, Sparse Covariance Matrix Estimation by DCA-Based Algorithms, The Five Trolls Under the Bridge: Principal Component Analysis With Asynchronous and Noisy High Frequency Data, Adaptive thresholding estimator for differential association structures in two independent contingency tables, Informative Estimation and Selection of Correlation Structure for Longitudinal Data, Diagonally Dominant Principal Component Analysis, Large Covariance Estimation by Thresholding Principal Orthogonal Complements, Schur polynomials and matrix positivity preservers, Trimmed estimators for large dimensional sparse covariance matrices, Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation, Double shrinkage estimators for large sparse covariance matrices, Tuning-parameter selection in regularized estimations of large covariance matrices, Large Covariance Estimation for Compositional Data Via Composition-Adjusted Thresholding, Graph-Guided Banding of the Covariance Matrix, Sparse Minimum Discrepancy Approach to Sufficient Dimension Reduction with Simultaneous Variable Selection in Ultrahigh Dimension, Correlation structure selection for longitudinal data with diverging cluster size, Unnamed Item, Estimation of a sparse and spiked covariance matrix, Sparsity concepts and estimation procedures for high‐dimensional vector autoregressive models, An improved banded estimation for large covariance matrix, SURE-tuned tapering estimation of large covariance matrices, Scaling it up: stochastic search structure learning in graphical models, Empirical likelihood test for the equality of several high-dimensional covariance matrices, Estimation of linear functional of large spectral density matrix and application to Whittle's approach, Ensemble sparse estimation of covariance structure for exploring genetic disease data, Regularization for high-dimensional covariance matrix, More powerful tests for sparse high-dimensional covariances matrices, Matrix positivity preservers in fixed dimension. I, Nonparametric eigenvalue-regularized precision or covariance matrix estimator, Linear shrinkage estimation of large covariance matrices using factor models, A factor-GARCH model for high dimensional volatilities, Recent developments in high dimensional covariance estimation and its related issues, a review, Comparison of linear shrinkage estimators of a large covariance matrix in normal and non-normal distributions, Sparse estimation of high-dimensional correlation matrices, Estimating large covariance matrix with network topology for high-dimensional biomedical data, Pre-averaging estimate of high dimensional integrated covariance matrix with noisy and asynchronous high-frequency data, High dimensional minimum variance portfolio estimation under statistical factor models, Minimax bounds for sparse PCA with noisy high-dimensional data, Robust sparse covariance estimation by thresholding Tyler's M-estimator, Using principal component analysis to estimate a high dimensional factor model with high-frequency data, Tests for covariance matrix with fixed or divergent dimension, Large covariance estimation through elliptical factor models, Minimax optimal estimation of general bandable covariance matrices, A fast iterative algorithm for high-dimensional differential network, High-dimensional covariance matrix estimation with missing observations, On the penalized maximum likelihood estimation of high-dimensional approximate factor model, D-trace estimation of a precision matrix using adaptive lasso penalties, Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage, Matrix means and a novel high-dimensional shrinkage phenomenon, Sparse covariance matrix estimation in high-dimensional deconvolution, Estimation of functionals of sparse covariance matrices, Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data, Model selection and estimation in the matrix normal graphical model, Adaptive covariance matrix estimation through block thresholding, Estimation of the inverse scatter matrix of an elliptically symmetric distribution, Inference for high-dimensional differential correlation matrices, Improved Stein-type shrinkage estimators for the high-dimensional multivariate normal covariance matrix, A Bayesian information criterion for portfolio selection, Pivotal variable detection of the covariance matrix and its application to high-dimensional factor models, Structural inference in sparse high-dimensional vector autoregressions, Structural shrinkage of nonparametric spectral estimators for multivariate time series, Penalized model-based clustering with unconstrained covariance matrices, Covariance selection by thresholding the sample correlation matrix, Covariance estimation: the GLM and regularization perspectives, High-dimensional covariance matrix estimation in approximate factor models, Double-slicing assisted sufficient dimension reduction for high-dimensional censored data, Inference on the change point under a high dimensional sparse mean shift, Posterior convergence rates for estimating large precision matrices using graphical models, Design-free estimation of variance matrices, Spectral clustering via sparse graph structure learning with application to proteomic signaling networks in cancer, Covariance-insured screening, Random matrix theory in statistics: a review, The spectral norm of random inner-product kernel matrices, A panorama of positivity. II: Fixed dimension, Bootstrapping factor models with cross sectional dependence, On the existence of the weighted bridge penalized Gaussian likelihood precision matrix estimator, Maximum pairwise Bayes factors for covariance structure testing, Risks of large portfolios, Robust covariance estimation for approximate factor models, Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data, A multiple testing approach to the regularisation of large sample correlation matrices, Positive-Definite ℓ1-Penalized Estimation of Large Covariance Matrices, Individual-specific, sparse inverse covariance estimation in generalized estimating equations, An efficient numerical method for condition number constrained covariance matrix approximation, Regularized Parameter Estimation in High-Dimensional Gaussian Mixture Models, Covariance estimation via sparse Kronecker structures, Testing independence with high-dimensional correlated samples, An $\ell_{\infty}$ Eigenvector Perturbation Bound and Its Application to Robust Covariance Estimation, Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection, Shrinkage and model selection with correlated variables via weighted fusion, High-dimensional mean estimation via \(\ell_1\) penalized normal likelihood, Test for bandedness of high-dimensional covariance matrices and bandwidth estimation, Weighted covariance matrix estimation, Bayesian structure learning in graphical models, Partial estimation of covariance matrices, NOVELIST estimator of large correlation and covariance matrices and their inverses, How close is the sample covariance matrix to the actual covariance matrix?, Nonparametric estimation of large covariance matrices with conditional sparsity, Embracing the Blessing of Dimensionality in Factor Models, Estimation and optimal structure selection of high-dimensional Toeplitz covariance matrix, Estimation of autocovariance matrices for high dimensional linear processes, Factor-adjusted multiple testing of correlations, An efficient algorithm for sparse inverse covariance matrix estimation based on dual formulation, Spatial disease mapping using directed acyclic graph auto-regressive (DAGAR) models, Sparse and low-rank covariance matrix estimation, Non-asymptotic error controlled sparse high dimensional precision matrix estimation, A large covariance matrix estimator under intermediate spikiness regimes, Minimax rate-optimal estimation of high-dimensional covariance matrices with incomplete data, Ultrahigh dimensional precision matrix estimation via refitted cross validation, Optimal rates of convergence for sparse covariance matrix estimation, Exponent of cross-sectional dependence for residuals, Compressed covariance estimation with automated dimension learning, Covariance function versus covariance matrix estimation in efficient semi-parametric regression for longitudinal data analysis, Banded Regularization of Autocovariance Matrices in Application to Parameter Estimation and Forecasting of Time Series, Estimating high-dimensional covariance and precision matrices under general missing dependence, A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables, The beta-mixture shrinkage prior for sparse covariances with near-minimax posterior convergence rate, Regularized factor portfolio for cross-sectional multifactor models, High-dimensional correlation matrix estimation for general continuous data with Bagging technique, An empirical estimator for the sparsity of a large covariance matrix under multivariate normal assumptions
