Bandwidth selection for high-dimensional covariance matrix estimation

DOI10.1080/01621459.2014.950375zbMATH Open1373.62259OpenAlexW2086171061MaRDI QIDQ5367429FDOQ5367429

Authors: Yumou Qiu, Song Xi Chen 

Publication date: 13 October 2017

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/59641/1/MPRA_paper_59641.pdf

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zbMATH Keywords

covariance matrix estimationlarge \(p\), small \(n\)tapering estimatorthresholding estimatorbanding estimatorratio-consistency

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

Cited In (11)

• An improved banded estimation for large covariance matrix
• Adaptive banding covariance estimation for high‐dimensional multivariate longitudinal data
• Test for bandedness of high-dimensional covariance matrices and bandwidth estimation
• More powerful tests for sparse high-dimensional covariances matrices
• Hypothesis testing for band size detection of high-dimensional banded precision matrices
• Estimation of conditional mean operator under the bandable covariance structure
• Computationally efficient banding of large covariance matrices for ordered data and connections to banding the inverse Cholesky factor
• SURE-tuned tapering estimation of large covariance matrices
• Forward adaptive banding for estimating large covariance matrices
• A large covariance matrix estimator under intermediate spikiness regimes
• Bandwidth selection for large covariance and precision matrices

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