spcov

swMATH12271CRANspcovMaRDI QIDQ24202FDOQ24202

Sparse Estimation of a Covariance Matrix

Jacob Bien

Last update: 23 September 2022

Copyright license: GNU General Public License, version 2.0

Software version identifier: 1.3

Official website: http://cran.r-project.org/web/packages/spcov/index.html

Source code repository: https://github.com/cran/spcov

Described by source

• Sparse estimation of a covariance matrix

Cited In (only showing first 100 items - show all)

• Cholesky-based model averaging for covariance matrix estimation
• Hint
• An orthogonally equivariant estimator of the covariance matrix in high dimensions and for small sample sizes
• Scaling it up: stochastic search structure learning in graphical models
• Sparse estimation of high-dimensional correlation matrices
• Distributionally robust inverse covariance estimation: the Wasserstein shrinkage estimator
• Estimating large correlation matrices for international migration
• Efficient estimation of approximate factor models via penalized maximum likelihood
• The finite sample properties of sparse M-estimators with pseudo-observations
• DC programming and DCA: thirty years of developments
• An efficient surrogate model for emulation and physics extraction of large eddy simulations
• Coordinate descent algorithm for covariance graphical Lasso
• Covariance estimation via sparse Kronecker structures
• Testing independence with high-dimensional correlated samples
• Sparse covariance matrix estimation by DCA-based algorithms
• A faster generalized ADMM-based algorithm using a sequential updating scheme with relaxed step sizes for multiple-block linearly constrained separable convex programming
• A one-sample test for normality with kernel methods
• Exploring dimension learning via a penalized probabilistic principal component analysis
• Estimation and optimal structure selection of high-dimensional Toeplitz covariance matrix
• Nonstationary Modeling With Sparsity for Spatial Data via the Basis Graphical Lasso
• A fused Lasso approach to nonstationary spatial covariance estimation
• 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
• Estimation of high-dimensional seemingly unrelated regression models
• gRc
• SIMoNe
• glasso
• huge
• minet
• MLPACK
• covreg
• SensoMineR
• QUIC
• colcor
• scout
• SigClust
• qgraph
• MENDEL
• convoSPAT
• FADA
• simulator
• Knorm
• ITSM2000
• PMA
• ragt2ridges
• rags2ridges
• GSPPCA
• CML
• MIM
• PDSCE
• ssgraph
• HdBCS
• MBCbook
• OQMD
• ggb
• hierband
• mixggm
• sparsevar
• MEGAN
• cgdsr
• CCLasso
• GHS
• sparseMatEst
• QuEST
• Non-asymptotic error controlled sparse high dimensional precision matrix estimation
• cvCovEst
• MatTransMix
• scola
• On the existence of the weighted bridge penalized Gaussian likelihood precision matrix estimator
• Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions
• The spectral condition number plot for regularization parameter evaluation
• Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage
• Testing regression coefficients in high-dimensional and sparse settings
• Simultaneous monitoring of process mean vector and covariance matrix via penalized likelihood estimation
• glassoFast
• Double shrinkage estimators for large sparse covariance matrices
• A Cholesky-based estimation for large-dimensional covariance matrices
• On the penalized maximum likelihood estimation of high-dimensional approximate factor model
• HellCor
• Graph-guided banding of the covariance matrix
• Regularized covariance matrix estimation under the common principal components model
• FastGGM
• An improved banded estimation for large covariance matrix
• MM Algorithms for Variance Components Models
• Bayesian sparse covariance decomposition with a graphical structure
• An efficient numerical method for condition number constrained covariance matrix approximation
• Detection of hubs in complex networks by the Laplacian matrix
• Detecting the large entries of a sparse covariance matrix in sub-quadratic time
• High-dimensional sufficient dimension reduction through principal projections
• MIP-BOOST: Efficient and Effective L₀ Feature Selection for Linear Regression
• 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
• Forecasting mortality rate improvements with a high-dimensional VAR
• Estimation of multivariate dependence structures via constrained maximum likelihood
• Large system of seemingly unrelated regressions: a penalized quasi-maximum likelihood estimation perspective
• Differentially private precision matrix estimation
• Sampling, metamodeling, and sensitivity analysis of numerical simulators with functional stochastic inputs
• Group-wise shrinkage estimation in penalized model-based clustering
• Model-based clustering with sparse covariance matrices

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