Bandwidth selection for high-dimensional covariance matrix estimation

DOI10.1080/01621459.2014.950375MaRDI QIDQ5367429zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

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

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

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Cited in

(11)

• Bandwidth selection for large covariance and precision matrices
• Hypothesis testing for band size detection of high-dimensional banded precision matrices
• SURE-tuned tapering estimation of large covariance matrices
• Forward adaptive banding for estimating large covariance matrices
• More powerful tests for sparse high-dimensional covariances matrices
• Test for bandedness of high-dimensional covariance matrices and bandwidth estimation
• 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
• An improved banded estimation for large covariance matrix
• A large covariance matrix estimator under intermediate spikiness regimes
• Adaptive banding covariance estimation for high‐dimensional multivariate longitudinal data

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