High‐Dimensional Covariance Estimation
From MaRDI portal
Publication:5326193
DOI10.1002/9781118573617zbMath1276.62031OpenAlexW2479782352MaRDI QIDQ5326193
Publication date: 31 July 2013
Published in: Wiley Series in Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/9781118573617
Estimation in multivariate analysis (62H12) Research exposition (monographs, survey articles) pertaining to statistics (62-02)
Related Items
Stable estimation of a covariance matrix guided by nuclear norm penalties, Mixture regression for longitudinal data based on joint mean-covariance model, Robust error density estimation in ultrahigh dimensional sparse linear model, An Explicit Mean-Covariance Parameterization for Multivariate Response Linear Regression, Parsimony inducing priors for large scale state-space models, Testing independence in high dimensions using Kendall's tau, Inference on covariance-mean regression, On the efficient low cost procedure for estimation of high-dimensional prediction error covariance matrices, Some recent work on multivariate Gaussian Markov random fields, Time series graphical Lasso and sparse VAR estimation, Multivariate Postprocessing Methods for High-Dimensional Seasonal Weather Forecasts, On variable ordination of Cholesky‐based estimation for a sparse covariance matrix, Superresolution from Principal Component Models by RKHS Sampling, Assessment of Covariance Selection Methods in High-Dimensional Gaussian Graphical Models, Group-wise shrinkage estimation in penalized model-based clustering, Projected regression method for solving Fredholm integral equations arising in the analytic continuation problem of quantum physics, Sparse principal component analysis for high‐dimensional stationary time series, The minimum weighted covariance determinant estimator for high-dimensional data, Robust tests for scatter separability beyond Gaussianity, Positive-definite thresholding estimators of covariance matrices with zeros, Detection of Multiple Structural Breaks in Large Covariance Matrices, Covariance Model with General Linear Structure and Divergent Parameters, Unnamed Item, Ensemble Kalman Methods for High-Dimensional Hierarchical Dynamic Space-Time Models, A Stein's approach to covariance matrix estimation using regularization of Cholesky factor and log-Cholesky metric, Detecting granular time series in large panels, MSE bounds for estimators of matrix functions, A panorama of positivity. II: Fixed dimension, Variable selection and joint estimation of mean and covariance models with an application to eQTL data, Covariance structure regularization via Frobenius-norm discrepancy, Variable selection in multivariate linear models with high-dimensional covariance matrix estimation, Cleaning large correlation matrices: tools from random matrix theory, Test for high dimensional covariance matrices, Nonparametric estimation of large covariance matrices with conditional sparsity, Hypothesis testing for independence under blocked compound symmetric covariance structure, Some Statistical Problems with High Dimensional Financial data, Large rank-based models with common noise, Bayesian Regularization for Graphical Models With Unequal Shrinkage, The spectral condition number plot for regularization parameter evaluation, ESTIMATION OF TIME-VARYING COVARIANCE MATRICES FOR LARGE DATASETS
Uses Software