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Testing the Diagonality of a Large Covariance Matrix in a Regression Setting
Bias-Corrected Test Covariance Diagonality Test High Di- mensional Data Multivariate Analysis
2016/1/20
In multivariate analysis, the covariance matrix associated with a set of vari-ables of interest (namely response variables) commonly contains valuable infor-mation about the dataset. When the dimensio...
Dynamic Large Spatial Covariance Matrix Estimation in Application to Semiparametric Model Construction via Variable Clustering: the SCE approach
Time Series Covariance Estimation Regularization, Sparsity
2011/7/6
To better understand the spatial structure of large panels of economic and financial time series and provide a guideline for constructing semiparametric models, this paper first considers estimating a...
Adaptive Thresholding for Sparse Covariance Matrix Estimation
constrained ℓ 1 minimization covariance matrix Frobenius norm Gaus-sian graphical model rate of convergence precision matrix spectral norm
2011/3/21
In this paper we consider estimation of sparse covariance matrices and propose a thresholding procedure which is adaptive to the variability of individual entries. The estimators are fully data driven...
