Cholesky-based model averaging for covariance matrix estimation
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Publication:5880164
DOI10.1080/24754269.2017.1336831OpenAlexW2768858086MaRDI QIDQ5880164FDOQ5880164
Authors: Hao Zheng, Kam-Wah Tsui, Xiaoning Kang, Xinwei Deng 
Publication date: 7 March 2023
Published in: Statistical Theory and Related Fields (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/24754269.2017.1336831
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Cites Work
- Sparse estimation of a covariance matrix
- A comparative study of ordinary cross-validation, v-fold cross-validation and the repeated learning-testing methods
- A new approach to Cholesky-based covariance regularization in high dimensions
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- On Information and Sufficiency
- Covariance regularization by thresholding
- A well-conditioned estimator for large-dimensional covariance matrices
- On the distribution of the largest eigenvalue in principal components analysis
- Regularized estimation of large covariance matrices
- Sparse estimation of large covariance matrices via a nested Lasso penalty
- Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation
- Estimation with quadratic loss.
- Positive-definite \(\ell_1\)-penalized estimation of large covariance matrices
- Title not available (Why is that?)
- Computationally efficient banding of large covariance matrices for ordered data and connections to banding the inverse Cholesky factor
- Local linear estimation of covariance matrices via Cholesky decomposition
Cited In (17)
- A new approach for ultrahigh dimensional precision matrix estimation
- An improved banded estimation for large covariance matrix
- Ensemble sparse estimation of covariance structure for exploring genetic disease data
- An improved modified cholesky decomposition approach for precision matrix estimation
- A scalable sparse Cholesky based approach for learning high-dimensional covariance matrices in ordered data
- Intrinsic wavelet regression for curves of Hermitian positive definite matrices
- AN ASYMPTOTIC THEORY FOR LEAST SQUARES MODEL AVERAGING WITH NESTED MODELS
- On variable ordination of Cholesky‐based estimation for a sparse covariance matrix
- Mallows model averaging with effective model size in fragmentary data prediction
- A new approach for ultrahigh-dimensional covariance matrix estimation
- Cross-validation for selecting the penalty factor in least squares model averaging
- A novel robust estimation for high-dimensional precision matrices
- Model averaging with averaging covariance matrix
- Model averaging for generalized linear models in fragmentary data prediction
- A Cholesky-based estimation for large-dimensional covariance matrices
- Sparse covariance matrix estimation for ultrahigh dimensional data
- Model averaging for generalized linear models in diverging model spaces with effective model size
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