Fused-Lasso Regularized Cholesky Factors of Large Nonstationary Covariance Matrices of Replicated Time Series

DOI10.1080/10618600.2022.2090367arXiv2007.11168WikidataQ114099325 ScholiaQ114099325MaRDI QIDQ6047123

Mohsen Pourahmadi, Aramayis Dallakyan

Publication date: 9 October 2023

Published in: Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2007.11168

zbMATH Keywords

Gaussian graphical modelsCholesky factorprecision matricesfused-Lassononstationary covariance matrices

Mathematics Subject Classification ID

Statistics (62-XX)

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