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)

zbMATH Keywords

high-dimensional dataprecision matrixcovariance matrixmicroarray datasparse covariance matrixshrinkage estimation

Mathematics Subject Classification ID

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

Cited in

(3)

• 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

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