Supplementary Material: Computationally efficient banding of large covariance matrices for ordered data and connections to banding the inverse Cholesky factor
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Computationally efficient banding of large covariance matrices for ordered data and connections to banding the inverse Cholesky factor
In this article, we propose a computationally efficient approach to estimate (large) p-dimensional covariance matrices of ordered (or longitudinal) data based on an independent sample of size n. To do this, we construct the estimator based on a k-band partial autocorrelation matrix with the number of bands chosen using an exact multiple hypothesis testing procedure. This approach is considerabl...
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تاریخ انتشار 2013