Estimation of covariance matrix via the sparse Cholesky factor with lasso
DOI10.1016/J.JSPI.2010.04.048zbMATH Open1233.62118OpenAlexW2110711209MaRDI QIDQ993832FDOQ993832
Authors: Changgee Chang, Ruey S. Tsay 
Publication date: 20 September 2010
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2010.04.048
Recommendations
- Sparse estimation of large covariance matrices via a nested Lasso penalty
- Sparse estimation of a covariance matrix
- On variable ordination of Cholesky‐based estimation for a sparse covariance matrix
- Sparse and low-rank covariance matrix estimation
- Estimation of a sparse and spiked covariance matrix
- Estimation of functionals of sparse covariance matrices
- <formula formulatype="inline"><tex Notation="TeX">$l_{0}$</tex></formula> Sparse Inverse Covariance Estimation
- Sparse covariance matrix estimation in high-dimensional deconvolution
- Nonparametric estimation of large covariance matrices with conditional sparsity
- Sparse reduced-rank regression with covariance estimation
modified Cholesky decompositionupdating\(L_{1}\) penaltyadding and removing variablesdynamic weighted lassoequi-angular covariance estimate
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Portfolio theory (91G10)
Cites Work
- Analysis of Financial Time Series
- The Adaptive Lasso and Its Oracle Properties
- Least angle regression. (With discussion)
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- Title not available (Why is that?)
- High-dimensional graphs and variable selection with the Lasso
- Covariance regularization by thresholding
- Regularized estimation of large covariance matrices
- Model selection and estimation in the Gaussian graphical model
- Spectral models for covariance matrices
- Sparse estimation of large covariance matrices via a nested Lasso penalty
- First-Order Methods for Sparse Covariance Selection
- Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation
- Estimation of a covariance matrix using the reference prior
- Nonparametric estimation of large covariance matrices of longitudinal data
- The Matrix-Logarithmic Covariance Model
- Nonparametric Estimation of Covariance Structure in Longitudinal Data
- Limiting spectral distribution for a class of random matrices
- Covariance matrix selection and estimation via penalised normal likelihood
- Efficient estimation of covariance selection models
- Bayesian inference for a covariance matrix
Cited In (16)
- A permutation-based Bayesian approach for inverse covariance estimation
- Two Cholesky-log-GARCH models for multivariate volatilities
- Cholesky-based model averaging for covariance matrix estimation
- An improved banded estimation for large covariance matrix
- Covariance estimation: the GLM and regularization perspectives
- Ensemble sparse estimation of covariance structure for exploring genetic disease data
- Cholesky-GARCH models with applications to finance
- An improved modified cholesky decomposition approach for precision matrix estimation
- On variable ordination of Cholesky‐based estimation for a sparse covariance matrix
- Fused-Lasso Regularized Cholesky Factors of Large Nonstationary Covariance Matrices of Replicated Time Series
- Adaptive estimation of covariance matrices via Cholesky decomposition
- Robust inference of risks of large portfolios
- Sparse Recovery With Unknown Variance: A LASSO-Type Approach
- A novel robust estimation for high-dimensional precision matrices
- On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices
- Risks of large portfolios
Uses Software
This page was built for publication: Estimation of covariance matrix via the sparse Cholesky factor with lasso
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q993832)
