Estimation of a sparse and spiked covariance matrix
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Recommendations
- Sparse estimation of a covariance matrix
- Sparse estimation of high-dimensional correlation matrices
- Sparse and low-rank covariance matrix estimation
- Optimal estimation and rank detection for sparse spiked covariance matrices
- Sparsistency and rates of convergence in large covariance matrix estimation
Cites work
- A constrained \(\ell _{1}\) minimization approach to sparse precision matrix estimation
- Adaptive covariance matrix estimation through block thresholding
- Adaptive thresholding for sparse covariance matrix estimation
- Covariance regularization by thresholding
- Estimation of (near) low-rank matrices with noise and high-dimensional scaling
- Exact matrix completion via convex optimization
- Generalized thresholding of large covariance matrices
- High-dimensional covariance matrix estimation in approximate factor models
- Identifiability of factor analysis: Some results and open problems
- Incremental proximal methods for large scale convex optimization
- Network exploration via the adaptive LASSO and SCAD penalties
- Nonparametric estimation of large covariance matrices of longitudinal data
- Nuclear-norm penalization and optimal rates for noisy low-rank matrix completion
- Optimal rates of convergence for covariance matrix estimation
- Positive definite estimators of large covariance matrices
- Positive-definite _1-penalized estimation of large covariance matrices
- Probabilistic Principal Component Analysis
- Regularized estimation of large covariance matrices
- Robust principal component analysis?
- Shrinkage tuning parameter selection in precision matrices estimation
- Solving a low-rank factorization model for matrix completion by a nonlinear successive over-relaxation algorithm
- Sparse estimation of a covariance matrix
- Sparse inverse covariance estimation with the graphical lasso
- Sparsistency and rates of convergence in large covariance matrix estimation
Cited in
(14)- Sparse estimation of a covariance matrix
- Sparse estimation of high-dimensional correlation matrices
- Covariance estimation via sparse Kronecker structures
- Spiked separable covariance matrices and principal components
- A large covariance matrix estimator under intermediate spikiness regimes
- Compressed covariance estimation with automated dimension learning
- Optimal estimation and rank detection for sparse spiked covariance matrices
- Optimal shrinkage of eigenvalues in the spiked covariance model
- Sparse and low-rank covariance matrix estimation
- Shared subspace models for multi-group covariance estimation
- Estimation of the Number of Spiked Eigenvalues in a Covariance Matrix by Bulk Eigenvalue Matching Analysis
- Bayesian sparse spiked covariance model with a continuous matrix shrinkage prior
- Target detection using nonsingular approximations for a singular covariance matrix
- Estimation of covariance matrix via the sparse Cholesky factor with lasso
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