High‐dimensional covariance estimation for Gaussian directed acyclic graph models with given order
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DOI: 10.1002/wics.1468
Abstract: The covariance matrix is a fundamental quantity that helps us understand the nature of relationships among variables in a multivariate data set. Estimating the covariance matrix can be challenging in modern applications where the number… read more here.
Keywords: estimation gaussian; dimensional covariance; covariance; covariance matrix ... See more keywords
Maximum likelihood estimation for Gaussian processes under inequality constraints
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DOI: 10.1214/19-ejs1587
Abstract: We consider covariance parameter estimation for a Gaussian process under inequality constraints (boundedness, monotonicity or convexity) in fixed-domain asymptotics. We address the estimation of the variance parameter and the estimation of the microergodic parameter of… read more here.
Keywords: maximum likelihood; likelihood estimator; estimation; inequality constraints ... See more keywords