A Novel Two-Stage Adaptive Method for Estimating Large Covariance and Precision Matrices
Description:
Estimating large covariance and precision (inverse covariance) matrices has become increasingly important in high dimensional statistics because of its wide applications. The estimation problem is challenging not only theoretically due to the constraint of its positive definiteness, but also computationally because of the curse of dimensionality. Many types of estimators have been proposed such as thresholding under the sparsity assumption of the target matrix, banding and tapering the sample c…
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Date:
August 2019
Creator:
Rajendran, Rajanikanth
Partner:
UNT Libraries