Recent developments in high dimensional covariance estimation and its related issues, a review

DOI10.1016/j.jkss.2018.04.005zbMath1395.62124OpenAlexW2884961352MaRDI QIDQ1657856

Choongrak Kim, Younghee Hong

Publication date: 14 August 2018

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2018.04.005

zbMATH Keywords

Laplacian matrixhigh dimensional dataLassoGaussian graphical modelprecision matrixTracy-Widom law

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12)

Related Items

Detection of hubs in complex networks by the Laplacian matrix ⋮ Bayesian inference of clustering and multiple Gaussian graphical models selection

Uses Software

• glasso
• spcov
• MIM

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