Precision Matrix Estimation by Inverse Principal Orthogonal Decomposition

DOI10.4208/CMR.2020-0001zbMath1463.62166OpenAlexW3014543143MaRDI QIDQ5129479

Yinfei Kong, Cheng Yong Tang, Yingying Fan

Publication date: 27 October 2020

Published in: Communications in Mathematical Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/cmr.2020-0001

zbMATH Keywords

precision matrixhigh-dimensional data analysislatent Gaussian graphical model

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Probabilistic graphical models (62H22)

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