Partial correlation screening for estimating large precision matrices, with applications to classification

DOI10.1214/15-AOS1392zbMath1349.62269arXiv1409.3301OpenAlexW2962838391MaRDI QIDQ342668

Mohammad Hasan, M. Dambrine

Publication date: 18 November 2016

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.3301

zbMATH Keywords

glassosparsityfeature selectionrandom forestsupport vector machinepartial correlationforward and backward selectionscreen and clean

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to biology and medical sciences; meta analysis (62P10) Measures of association (correlation, canonical correlation, etc.) (62H20)

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