Test for bandedness of high-dimensional precision matrices
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Nonparametric Statistics"
DOI: 10.1080/10485252.2017.1375112
Abstract: ABSTRACT Statistical inferences in high-dimensional precision matrices are equally important as statistical inferences in high-dimensional covariance matrices. In the literature, much attention has been paid to the latter, and significant advances have been achieved, especially… read more here.
Keywords: test bandedness; high dimensional; dimensional precision; precision matrices ... See more keywords
Robust estimation of high-dimensional covariance and precision matrices.
Sign Up to like & getrecommendations! Published in 2018 at "Biometrika"
DOI: 10.1093/biomet/asy011
Abstract: High-dimensional data are often most plausibly generated from distributions with complex structure and leptokurtosis in some or all components. Covariance and precision matrices provide a useful summary of such structure, yet the performance of popular… read more here.
Keywords: covariance precision; high dimensional; assumption; precision matrices ... See more keywords
Bayesian estimation of sparse precision matrices in the presence of Gaussian measurement error
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DOI: 10.1214/21-ejs1904
Abstract: Estimation of sparse, high-dimensional precision matrices is an important and challenging problem. Existing methods all assume that observations can be made precisely but, in practice, this often is not the case; for example, the instruments… read more here.
Keywords: error; measurement error; estimation sparse; precision matrices ... See more keywords