Estimating high-dimensional covariance and precision matrices under general missing dependence
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Publication:2074279
DOI10.1214/21-EJS1892zbMath1493.62319arXiv2006.04632OpenAlexW3207565821MaRDI QIDQ2074279
Xinlei Wang, Johan Lim, Seongoh Park
Publication date: 9 February 2022
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2006.04632
covariance matrixconvergence rateinverse probability weightingdependent missing structureelement-wise maximum norm
Related Items (3)
An overview of heavy-tail extensions of multivariate Gaussian distribution and their relations ⋮ Sparse precision matrix estimation with missing observations ⋮ Monitoring multivariate data with high missing rate by pooling univariate statistics
Uses Software
Cites Work
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