Estimation of variances and covariances for high-dimensional data: a selective review

DOI10.1002/WICS.1308MaRDI QIDQ6604407zbMATH OpenFDO

Authors Tiejun Tong, Cheng Wang, Yuedong Wang

Publication date 12 September 2024

Published in Wiley Interdisciplinary Reviews. WIREs Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/WICS.1308

zbMATH Keywords

covariance matrixhigh-dimensional datamicroarray dataprecision matrixshrinkage estimationsparse covariance matrix

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Cited in

(5)

• Cluster-scaled principal component analysis
• Estimation of covariance and precision matrix, network structure, and a view toward systems biology
• A comparison of methods for estimating the determinant of high-dimensional covariance matrix
• High-dimensional differential networks with sparsity and reduced-rank
• A new family of distribution-free geometric shrinkage variances estimators with applications

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