Local linear estimation of covariance matrices via Cholesky decomposition

DOI10.5705/SS.2013.129zbMath1415.62031OpenAlexW2062751224MaRDI QIDQ2950215

Chenlei Leng, Zi-Qi Chen

Publication date: 8 October 2015

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/651ef6aab5c1da98cc5fe167b0d2676ca7186cb8

zbMATH Keywords

covariance matrixlocal linear estimatormodified Cholesky decompositionlocal constant estimator

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Nonparametric estimation (62G05)

Related Items (5)

Cholesky-based model averaging for covariance matrix estimation ⋮ Averaging estimation for conditional covariance models ⋮ Robust maximum \(L_q\)-likelihood estimation of joint mean-covariance models for longitudinal data ⋮ A new approach for ultrahigh-dimensional covariance matrix estimation ⋮ An improved modified cholesky decomposition approach for precision matrix estimation

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