Estimation of covariance matrix via the sparse Cholesky factor with lasso
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Cites work
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- Analysis of Financial Time Series
- Bayesian inference for a covariance matrix
- Covariance matrix selection and estimation via penalised normal likelihood
- Covariance regularization by thresholding
- Efficient estimation of covariance selection models
- Estimation of a covariance matrix using the reference prior
- First-Order Methods for Sparse Covariance Selection
- High-dimensional graphs and variable selection with the Lasso
- Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation
- Least angle regression. (With discussion)
- Limiting spectral distribution for a class of random matrices
- Model selection and estimation in the Gaussian graphical model
- Nonparametric Estimation of Covariance Structure in Longitudinal Data
- Nonparametric estimation of large covariance matrices of longitudinal data
- Regularized estimation of large covariance matrices
- Sparse estimation of large covariance matrices via a nested Lasso penalty
- Spectral models for covariance matrices
- The Adaptive Lasso and Its Oracle Properties
- The Matrix-Logarithmic Covariance Model
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
Cited in
(16)- Covariance estimation: the GLM and regularization perspectives
- Sparse Recovery With Unknown Variance: A LASSO-Type Approach
- Risks of large portfolios
- Ensemble sparse estimation of covariance structure for exploring genetic disease data
- On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices
- Two Cholesky-log-GARCH models for multivariate volatilities
- On variable ordination of Cholesky‐based estimation for a sparse covariance matrix
- A permutation-based Bayesian approach for inverse covariance estimation
- Cholesky-based model averaging for covariance matrix estimation
- Robust inference of risks of large portfolios
- Adaptive estimation of covariance matrices via Cholesky decomposition
- An improved banded estimation for large covariance matrix
- Cholesky-GARCH models with applications to finance
- A novel robust estimation for high-dimensional precision matrices
- An improved modified cholesky decomposition approach for precision matrix estimation
- Fused-Lasso Regularized Cholesky Factors of Large Nonstationary Covariance Matrices of Replicated Time Series
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