A new approach for ultrahigh dimensional precision matrix estimation

DOI10.1016/j.jspi.2024.106164MaRDI QIDQ6556783

Yu-Hao Zhang, Yu'e Wu, Jiyang Wang, Wanfeng Liang, Xiao-Yan Ma

Publication date: 17 June 2024

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

precision matrixmodified Cholesky decompositionultrahigh dimensionrefitted cross validation

Mathematics Subject Classification ID

Statistics (62-XX)

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