An improved modified cholesky decomposition approach for precision matrix estimation

DOI10.1080/00949655.2019.1687701OpenAlexW2985086210WikidataQ126863335 ScholiaQ126863335MaRDI QIDQ5107717

Xinwei Deng, Xiaoning Kang

Publication date: 28 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1710.05163

zbMATH Keywords

sparsityprecision matrixLDAmodified Cholesky decompositionorder of variables

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (7)

Robust sparse precision matrix estimation for high-dimensional compositional data ⋮ On variable ordination of Cholesky‐based estimation for a sparse covariance matrix ⋮ A new approach for ultrahigh-dimensional covariance matrix estimation ⋮ Estimation of banded time-varying precision matrix based on SCAD and group Lasso ⋮ Simplicial and minimal-variance distances in multivariate data analysis ⋮ Robust estimation of sparse precision matrix using adaptive weighted graphical lasso approach ⋮ An improved banded estimation for large covariance matrix

Uses Software

• glasso

Cites Work

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