Contributions to Large Covariance and Inverse Covariance Matrices Estimation
Kang, Xiaoning;
- Publisher: Virginia Tech
- Subject: Covariance matrix; modified Cholesky decomposition; sparse estimation
Estimation of covariance matrix and its inverse is of great importance in multivariate statistics with broad applications such as dimension reduction, portfolio optimization, linear discriminant analysis and gene expression analysis. However, accurate estimation of cova... View more