A novel robust estimation for high-dimensional precision matrices (Q6629954)

scientific article; zbMATH DE number 7936149

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English	A novel robust estimation for high-dimensional precision matrices	scientific article; zbMATH DE number 7936149

Statements

instance of

scholarly article

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title

A novel robust estimation for high-dimensional precision matrices (English)

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Statistics in Medicine

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publication date

30 October 2024

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zbMATH Keywords

modified Cholesky decomposition

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penalized LAD

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precision matrix

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robust estimation

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MaRDI profile type

Publication

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cites work

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Sparse estimation of a covariance matrix

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A Constrained<i>ℓ</i><sub>1</sub>Minimization Approach to Sparse Precision Matrix Estimation

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Sparse precision matrix estimation via lasso penalized D-trace loss

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High dimensional covariance matrix estimation by penalizing the matrix-logarithm transformed likelihood

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Ensemble sparse estimation of covariance structure for exploring genetic disease data

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Propagation of outliers in multivariate data

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High-dimensional robust precision matrix estimation: cellwise corruption under \(\epsilon \)-contamination

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An overview of the estimation of large covariance and precision matrices

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Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation

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Maximum likelihood estimation of generalised linear models for multivariate normal covariance matrix

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On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices

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High‐Dimensional Covariance Estimation

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Covariance matrix selection and estimation via penalised normal likelihood

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Estimation of covariance matrix via the sparse Cholesky factor with lasso

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Statistics for high-dimensional data. Methods, theory and applications.

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The \(L_1\) penalized LAD estimator for high dimensional linear regression

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Estimation of High Dimensional Mean Regression in the Absence of Symmetry and Light Tail Assumptions

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Cholesky-GARCH models with applications to finance

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Best permutation analysis

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Cholesky-based model averaging for covariance matrix estimation

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An improved modified cholesky decomposition approach for precision matrix estimation

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Robust Statistics

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Adaptive Huber Regression

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Alternatives to the Median Absolute Deviation

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Gene regulatory networks. Methods and protocols

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Sparse estimation of multivariate Poisson log‐normal models from count data

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Identifiers

zbMATH Open document ID

1548.6247

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DOI

10.1002/sim.9636

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Mathematics Subject Classification ID

62P10

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zbMATH DE Number

7936149

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Sitelinks

Mathematics(1 entry)

mardi Publication:6629954