Sparse covariance estimation in heterogeneous samples
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Publication:1952215
DOI10.1214/11-EJS634zbMath1274.62207arXiv1001.4208OpenAlexW2054289066WikidataQ38630534 ScholiaQ38630534MaRDI QIDQ1952215
Adrian Dobra, Abel Rodríguez, Alex Lenkoski
Publication date: 28 May 2013
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1001.4208
hidden Markov modelDirichlet processmixture modelGaussian graphical modelcovariance selectionnonparametric Bayes inference
Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Bayesian inference (62F15)
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Uses Software
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