Technical appendix to “Adaptive estimation of covariance matrices via Cholesky decomposition”
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چکیده
This is a technical appendix to “Adaptive estimation of covariance matrices via Cholesky decomposition (arXiv:1010.1445). AMS 2000 subject classifications: Primary 62H12; secondary 62F35, 62J05.
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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تاریخ انتشار 2017