Estimating Large Precision Matrices via Modified Cholesky Decomposition

zbMath1464.62294arXiv1707.01143MaRDI QIDQ4986367

Jaeyong Lee, Kyoungjae Lee

Publication date: 27 April 2021

Full work available at URL: https://arxiv.org/abs/1707.01143

zbMATH Keywords

precision matrixmodified Cholesky decompositionP-loss convergence rate

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Factorization of matrices (15A23)

Related Items (6)

Bayesian joint inference for multiple directed acyclic graphs ⋮ Contraction of a quasi-Bayesian model with shrinkage priors in precision matrix estimation ⋮ Scalable Bayesian high-dimensional local dependence learning ⋮ Precision matrix estimation under the horseshoe-like prior-penalty dual ⋮ Minimax posterior convergence rates and model selection consistency in high-dimensional DAG models based on sparse Cholesky factors ⋮ Bayesian inference for high-dimensional decomposable graphs

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