Bandwidth selection for large covariance and precision matrices

DOI10.5705/ss.202022.0337MaRDI QIDQ6671919

Xuehu Zhu, Li Xing Zhu, Xu Guo, Unnamed Author, Jiasen Zheng

Publication date: 27 January 2025

Published in: Statistica Sinica (Search for Journal in Brave)

zbMATH Keywords

covariance matrixCholesky decompositionbandingprecision matrixtaperinglarge \(p\) small \(n\)

Mathematics Subject Classification ID

Statistics (62-XX)

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