Sparse estimation of a covariance matrix
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Cited in
(only showing first 100 items - show all)- Sparse reduced-rank regression with covariance estimation
- DC programming and DCA: thirty years of developments
- Covariance estimation: the GLM and regularization perspectives
- Sparse permutation invariant covariance estimation
- Simultaneous monitoring of process mean vector and covariance matrix via penalized likelihood estimation
- Scaling it up: stochastic search structure learning in graphical models
- Testing independence with high-dimensional correlated samples
- Spiked separable covariance matrices and principal components
- Recent developments in high dimensional covariance estimation and its related issues, a review
- A SAEM algorithm for fused Lasso penalized nonlinear mixed effect models: application to group comparison in pharmacokinetics
- Perturbations and projections of Kalman-Bucy semigroups
- Positive definite estimators of large covariance matrices
- An orthogonally equivariant estimator of the covariance matrix in high dimensions and for small sample sizes
- An efficient surrogate model for emulation and physics extraction of large eddy simulations
- Sparsistency and rates of convergence in large covariance matrix estimation
- Estimation and optimal structure selection of high-dimensional Toeplitz covariance matrix
- MIP-BOOST: Efficient and Effective L0 Feature Selection for Linear Regression
- Minimax optimal estimation of high-dimensional sparse covariance matrices with missing data
- Double shrinkage estimators for large sparse covariance matrices
- Positive-definite thresholding estimators of covariance matrices with zeros
- Estimation of a sparse and spiked covariance matrix
- On variable ordination of Cholesky‐based estimation for a sparse covariance matrix
- Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions
- On the penalized maximum likelihood estimation of high-dimensional approximate factor model
- Sparse covariance thresholding for high-dimensional variable selection
- Positive-definite \(\ell_1\)-penalized estimation of large covariance matrices
- Forecasting mortality rate improvements with a high-dimensional VAR
- Nonstationary Modeling With Sparsity for Spatial Data via the Basis Graphical Lasso
- The spectral condition number plot for regularization parameter evaluation
- Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage
- Model-based clustering with sparse covariance matrices
- An efficient algorithm for sparse inverse covariance matrix estimation based on dual formulation
- Distributionally robust inverse covariance estimation: the Wasserstein shrinkage estimator
- A faster generalized ADMM-based algorithm using a sequential updating scheme with relaxed step sizes for multiple-block linearly constrained separable convex programming
- Estimating large correlation matrices for international migration
- Local Whittle estimation of high-dimensional long-run variance and precision matrices
- Cholesky-based model averaging for covariance matrix estimation
- Group Lasso estimation of high-dimensional covariance matrices
- Efficient estimation of approximate factor models via penalized maximum likelihood
- First-Order Methods for Sparse Covariance Selection
- Sparse inverse covariance estimation with the graphical lasso
- Estimation of high-dimensional seemingly unrelated regression models
- Statistical sparsity
- A loss‐based prior for Gaussian graphical models
- spcov
- Efficient estimation of covariance selection models
- Coordinate descent algorithm for covariance graphical Lasso
- Estimation of covariance matrix via the sparse Cholesky factor with lasso
- The Bayesian covariance lasso
- The finite sample properties of sparse M-estimators with pseudo-observations
- High-dimensional covariance estimation by minimizing \(\ell _{1}\)-penalized log-determinant divergence
- A fused Lasso approach to nonstationary spatial covariance estimation
- Estimation of a covariance matrix with zeros
- An empirical estimator for the sparsity of a large covariance matrix under multivariate normal assumptions
- covglasso
- Sparse covariance matrix estimation by DCA-based algorithms
- On the existence of the weighted bridge penalized Gaussian likelihood precision matrix estimator
- A Cholesky-based estimation for large-dimensional covariance matrices
- Sparse estimation of high-dimensional correlation matrices
- Covariance matrix selection and estimation via penalised normal likelihood
- Sparsity and the possibility of inference
- Testing regression coefficients in high-dimensional and sparse settings
- Covariance estimation via sparse Kronecker structures
- Exploring dimension learning via a penalized probabilistic principal component analysis
- Graph-guided banding of the covariance matrix
- <formula formulatype="inline"><tex Notation="TeX">$l_{0}$</tex></formula> Sparse Inverse Covariance Estimation
- Optimal shrinkage of eigenvalues in the spiked covariance model
- Constructing networks by filtering correlation matrices: a null model approach
- A one-sample test for normality with kernel methods
- Non-asymptotic error controlled sparse high dimensional precision matrix estimation
- A joint convex penalty for inverse covariance matrix estimation
- Covariance Matrix Estimation via Network Structure
- MM Algorithms for Variance Components Models
- A generative approach to modeling data with quantitative and qualitative responses
- A partial PPA block-wise ADMM for multi-block linearly constrained separable convex optimization
- An Approach to Incorporate Subsampling Into a Generic Bayesian Hierarchical Model
- Estimation of multivariate dependence structures via constrained maximum likelihood
- Bayesian Structure Learning in Undirected Gaussian Graphical Models: Literature Review with Empirical Comparison
- Large system of seemingly unrelated regressions: a penalized quasi-maximum likelihood estimation perspective
- Differentially private precision matrix estimation
- A proximal distance algorithm for likelihood-based sparse covariance estimation
- Direct covariance matrix estimation with compositional data
- A random covariance model for bi‐level graphical modeling with application to resting‐state fMRI data
- A DC programming approach for sparse estimation of a covariance matrix
- Regularized covariance matrix estimation under the common principal components model
- A dual active-set proximal Newton algorithm for sparse approximation of correlation matrices
- Estimating sparse networks with hubs
- Model selection by pathwise marginal likelihood thresholding
- Ridge estimation of covariance matrix from data in two classes.
- Estimation of covariance and precision matrix, network structure, and a view toward systems biology
- Sampling, metamodeling, and sensitivity analysis of numerical simulators with functional stochastic inputs
- The beta-mixture shrinkage prior for sparse covariances with near-minimax posterior convergence rate
- High-dimensional sufficient dimension reduction through principal projections
- Lassoing eigenvalues
- A partially proximal S-ADMM for separable convex optimization with linear constraints
- High-dimensional covariance matrix estimation
- Maximum likelihood degree of the two-dimensional linear Gaussian covariance model
- Detecting the large entries of a sparse covariance matrix in sub-quadratic time
- Nonasymptotic support recovery for high-dimensional sparse covariance matrices
- On sparsity scales and covariance matrix transformations
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