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Estimating Large Precision Matrices via Modified Cholesky Decomposition - MaRDI portal

Estimating Large Precision Matrices via Modified Cholesky Decomposition (Q4986367)

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scientific article; zbMATH DE number 7339830

Language	Label	Description	Also known as
English	Estimating Large Precision Matrices via Modified Cholesky Decomposition	scientific article; zbMATH DE number 7339830

Statements

scholarly article

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publication date

27 April 2021

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full work available at URL

https://arxiv.org/abs/1707.01143

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zbMATH Keywords

modified Cholesky decomposition

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P-loss convergence rate

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precision matrix

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MaRDI profile type

MaRDI publication profile

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arXiv classification

math.ST

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stat.TH

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Posterior convergence rates for estimating large precision matrices using graphical models

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Bayesian structure learning in graphical models

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Covariance regularization by thresholding

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Regularized estimation of large covariance matrices

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Law of log determinant of sample covariance matrix and optimal estimation of differential entropy for high-dimensional Gaussian distributions

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Estimating sparse precision matrix: optimal rates of convergence and adaptive estimation

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Optimal estimation and rank detection for sparse spiked covariance matrices

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Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation

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Optimal rates of convergence for covariance matrix estimation

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Optimal rates of convergence for sparse covariance matrix estimation

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Posterior graph selection and estimation consistency for high-dimensional Bayesian DAG models

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High dimensional covariance matrix estimation using a factor model

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Estimation of functionals of sparse covariance matrices

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Rate-optimal posterior contraction for sparse PCA

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Bernstein-von Mises theorems for functionals of the covariance matrix

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Convergence rates of posterior distributions.

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Posterior convergence rates of Dirichlet mixtures at smooth densities

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On Consistency and Sparsity for Principal Components Analysis in High Dimensions

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A scalable sparse Cholesky based approach for learning high-dimensional covariance matrices in ordered data

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Optimal Bayesian minimax rates for unconstrained large covariance matrices

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Posterior contraction in sparse Bayesian factor models for massive covariance matrices

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High dimensional sparse covariance estimation via directed acyclic graphs

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Penalized likelihood methods for estimation of sparse high-dimensional directed acyclic graphs

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Adaptive estimation of covariance matrices via Cholesky decomposition

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High dimensional posterior convergence rates for decomposable graphical models

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Minimax optimal estimation of general bandable covariance matrices

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4986367

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