High-dimensional correlation matrix estimation for Gaussian data: a Bayesian perspective

DOI10.4310/20-SII655OpenAlexW3128428875MaRDI QIDQ2023399

Xiaodan Fan, Chaojie Wang

Publication date: 3 May 2021

Published in: Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4310/20-sii655

zbMATH Keywords

Bayesian analysisnon-convex optimizationpositive-definitenesscorrelation matrix estimation

Mathematics Subject Classification ID

Statistics (62-XX)

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