Sparse covariance matrix estimation for ultrahigh dimensional data
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Cites work
- A constrained \(\ell _{1}\) minimization approach to sparse precision matrix estimation
- A new approach to Cholesky-based covariance regularization in high dimensions
- A well-conditioned estimator for large-dimensional covariance matrices
- An overview of the estimation of large covariance and precision matrices
- Cholesky-based model averaging for covariance matrix estimation
- Covariance regularization by thresholding
- Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation
- Estimation of error variance via ridge regression
- Generalized thresholding of large covariance matrices
- High dimensional covariance matrix estimation using a factor model
- Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation
- Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
- Lasso-type recovery of sparse representations for high-dimensional data
- Local linear estimation of covariance matrices via Cholesky decomposition
- Nonparametric estimation of large covariance matrices with conditional sparsity
- On the distribution of the largest eigenvalue in principal components analysis
- Positive definite estimators of large covariance matrices
- Regularized estimation of large covariance matrices
- Sparsistency and rates of convergence in large covariance matrix estimation
- Sure independence screening for ultrahigh dimensional feature space. With discussion and authors' reply
- Tuning-parameter selection in regularized estimations of large covariance matrices
- Ultrahigh dimensional precision matrix estimation via refitted cross validation
- Variance estimation using refitted cross-validation in ultrahigh dimensional regression
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