Weighted average ensemble for Cholesky-based covariance matrix estimation
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Cites work
- A calibration method for non-positive definite covariance matrix in multivariate data analysis
- A Compound Decision Approach to Covariance Matrix Estimation
- A new approach for ultrahigh dimensional precision matrix estimation
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- Analytical nonlinear shrinkage of large-dimensional covariance matrices
- Bayesian nonstationary and nonparametric covariance estimation for large spatial data (with discussion)
- Best permutation analysis
- Cholesky-based model averaging for covariance matrix estimation
- Cholesky-GARCH models with applications to finance
- Covariance estimation via fiducial inference
- Covariance matrix selection and estimation via penalised normal likelihood
- Covariance regularization by thresholding
- Ensemble sparse estimation of covariance structure for exploring genetic disease data
- Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation
- Estimation of covariance matrix via the sparse Cholesky factor with lasso
- Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants
- Forward adaptive banding for estimating large covariance matrices
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation
- Large covariance estimation for compositional data via composition-adjusted thresholding
- Nonparametric estimation of large covariance matrices of longitudinal data
- On block Cholesky decomposition for sparse inverse covariance estimation
- On variable ordination of Cholesky‐based estimation for a sparse covariance matrix
- Positive-definite _1-penalized estimation of large covariance matrices
- Regularized estimation of large covariance matrices
- Sparse estimation of a covariance matrix
- Sparse permutation invariant covariance estimation
- Sparsistency and rates of convergence in large covariance matrix estimation
- The Adaptive Lasso and Its Oracle Properties
- Two Cholesky-log-GARCH models for multivariate volatilities
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