Parameter estimation in high dimensional Gaussian distributions
نویسندگان
چکیده
منابع مشابه
NORGES TEKNISK-NATURVITENSKAPELIGE UNIVERSITET Parameter Estimation in High Dimensional Gaussian Distributions
In order to compute the log-likelihood for high dimensional Gaussian models, it is necessary to compute the determinant of the large, sparse, symmetric positive definite precision matrix. Traditional methods for evaluating the log-likelihood, which are typically based on Choleksy factorisations, are not feasible for very large models due to the massive memory requirements. We present a novel ap...
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ژورنال
عنوان ژورنال: Statistics and Computing
سال: 2012
ISSN: 0960-3174,1573-1375
DOI: 10.1007/s11222-012-9368-y