Positive-definite thresholding estimators of covariance matrices with zeros

DOI10.1016/j.jmva.2023.105186MaRDI QIDQ6168115

Tanya P. Garcia, Mohsen Pourahmadi, Rakheon Kim

Publication date: 8 August 2023

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

multivariate normal distributioninformation criteriacovariance estimationiterative conditional fitting

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Multivariate analysis (62Hxx)

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