Estimation of multivariate dependence structures via constrained maximum likelihood

DOI10.1007/s13253-021-00475-xOpenAlexW3212357511MaRDI QIDQ2163514

Marti J. Anderson, Nurudeen A. Adegoke, Andrew Punnett

Publication date: 10 August 2022

Published in: Journal of Agricultural, Biological, and Environmental Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13253-021-00475-x

zbMATH Keywords

regularizationconstrained optimizationstatistical modelgraphical modelGaussian copulasparse modelling

Mathematics Subject Classification ID

Applications of statistics to environmental and related topics (62P12)

Uses Software

• R
• glasso
• spcov
• CML

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Coordinate descent algorithms for nonconvex penalized regression, with applications to biological feature selection
• A general algorithm for covariance modeling of discrete data
• Sparse estimation of a covariance matrix
• Sparse inverse covariance estimation with the graphical lasso
• The Adaptive Lasso and Its Oracle Properties
• Coordinate descent algorithm for covariance graphical Lasso
• Conditional copulas, association measures and their applications
• Copula theory and its applications. Proceedings of the workshop held in Warsaw, Poland, 25--26 September 2009
• Multivariate conditional versions of Spearman's rho and related measures of tail dependence
• On the simultaneous associativity of F(x,y) and x+y-F(x,y)
• Constrained maximum likelihood
• Maximum likelihood estimation of high-dimensional Student-\(t\) copulas
• Network exploration via the adaptive LASSO and SCAD penalties
• A class of bivariate copula mappings
• Coordinate descent algorithms for lasso penalized regression
• Regularised Manova for High-Dimensional Data
• Bivariate Exponential Distributions
• On High-Dimensional Constrained Maximum Likelihood Inference
• The t Copula and Related Copulas
• A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Maximum Likelihood Estimation of a Structured Covariance Matrix With a Condition Number Constraint
• Constrained Estimation of Causal Invertible VARMA
• Simulating Copulas
• Tests for High-Dimensional Covariance Matrices
• Convergence of a block coordinate descent method for nondifferentiable minimization

This page was built for publication: Estimation of multivariate dependence structures via constrained maximum likelihood