Estimating large precision matrices via modified Cholesky decomposition
نویسندگان
چکیده
منابع مشابه
Adaptive estimation of covariance matrices via Cholesky decomposition
This paper studies the estimation of a large covariance matrix. We introduce a novel procedure called ChoSelect based on the Cholesky factor of the inverse covariance. This method uses a dimension reduction strategy by selecting the pattern of zero of the Cholesky factor. Alternatively, ChoSelect can be interpreted as a graph estimation procedure for directed Gaussian graphical models. Our appr...
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ژورنال
عنوان ژورنال: Statistica Sinica
سال: 2020
ISSN: 1017-0405
DOI: 10.5705/ss.202018.0476