Covariance Selection by Thresholding the Sample Correlation Matrix

Covariance Selection by Thresholding the Sample Correlation Matrix

This article shows that when the nonzero coefficients of the population correlation matrix are all greater in absolute value than (C1logp/n)1/2 for some constant C1, we can obtain covariance selection consistency by thresholding the sample correlation matrix. Furthermore, the rate (logp/n)1/2 is sho...

Saved in:

書目詳細資料
主要作者:	JIANG, Binyan
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2013
主題:	Bernstein type inequality Covariance selection Large correlation matrix Large covariance matrix Thresholding Databases and Information Systems Numerical Analysis and Scientific Computing
在線閱讀:	https://ink.library.smu.edu.sg/sis_research/2049 https://ink.library.smu.edu.sg/context/sis_research/article/3048/viewcontent/JiangBY2013SPLCovariance_AFV.pdf
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!

相似書籍

On the sparsity of signals in a random sample
由: JIANG BINYAN
出版: (2012)

On the sparsity of signals in a random sample
由: Jiang, B., et al.
出版: (2014)

A penalized likelihood approach in covariance graphical model selection
由: LIN NAN
出版: (2011)

LIMITING LAWS FOR EXTREME EIGENVALUES OF GENERAL ELLIPTICAL LARGE DIMENSIONAL SAMPLE COVARIANCE MATRICES
由: XIE JIAHUI
出版: (2023)

Almost sure limit of the smallest eigenvalue of some sample correlation matrices
由: Xiao, H., et al.
出版: (2014)

Almost sure limit of the smallest eigenvalue of sample correlation matrix
由: XIAO HAN
出版: (2010)

Shrinkage estimation of nonlinear models and covariance matrix
由: JIANG QIAN
出版: (2012)

Functional CLT for sample covariance matrices
由: Bai, Z., et al.
出版: (2014)

Joint estimation of covariance matrix via Cholesky Decomposition
由: JIANG XIAOJUN
出版: (2012)

Asymptotic properties of eigenmatrices of a large sample covariance matrix
由: Bai, Z.D., et al.
出版: (2016)

Decoupling cross-quadrature correlations using passive operations
由: Assad, Syed Muhamad, et al.
出版: (2020)

ESTIMATION OF LARGE-SCALE CROSS-COVARIANCE MATRIX WITH GROUP INFORMATION
由: TEO GUO CI
出版: (2015)

Central Limit Theorem of Linear Spectral Statistics for Large Dimensional Random Matrices
由: WANG XIAOYING
出版: (2011)

Topics in spectral analysis of large sample covariance matrices
由: Lin, Zeqin
出版: (2024)

Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data
由: LIU, Cheng, et al.
出版: (2016)

Forecasting large covariance matrix with high-frequency data: A factor correlation matrix approach
由: DONG, Yingjie, et al.
出版: (2018)

Forecasting large covariance matrix with high-frequency data: A factor approach for the correlation matrix
由: DONG, Yingjie, et al.
出版: (2020)

ON HIGH-DIMENSIONAL COVARIANCE MATRICES ESTIMATION
由: WEN JUN
出版: (2017)

On estimation of the population spectral distribution from a high-dimensional sample covariance matrix
由: Bai, Z., et al.
出版: (2014)

On alternating direction methods for monotropic semidefinite programming
由: ZHANG SU
出版: (2010)

Nonparametric Regression Estimation with General Parametric Error Covariance: A More Efficient Two-step Estimator
由: SU, Liangjun, et al.
出版: (2013)

Estimation of the population spectral distribution from a large dimensional sample covariance matrix
由: Li, W., et al.
出版: (2014)

Semicircle law for Hadamard products
由: Bai, Z.D., et al.
出版: (2016)

Large sample covariance matrices without independence structures in columns
由: Bai, Z., et al.
出版: (2014)

Covariance Matrix Estimation with High Frequency Financial Data
由: LIU CHENG
出版: (2013)

Calibrating least squares semidefinite programming with equality and inequality constraints
由: Gao, Y., et al.
出版: (2014)

Convergence rates to the Marchenko-Pastur type distribution
由: Bai, Z., et al.
出版: (2014)

Covariate balancing for high-dimensional samples in controlled experiments
由: Luo, Xi, et al.
出版: (2025)

Computing multivariate effect sizes and their sampling covariance matrices with structural equation modeling: Theory, examples, and computer simulations
由: Cheung M.W.-L.
出版: (2019)

Extreme-Value Graphical Models With Multiple Covariates
由: Yu, Hang, et al.
出版: (2018)

Estimation and forecasting of dynamic conditional covariance: A semiparametric multivariate model
由: LONG, Xiangdong, et al.
出版: (2011)

Downlink channel covariance matrix (DCCM) estimation and its applications in wireless DS-CDMA systems
由: Liang, Y.-C., et al.
出版: (2014)

The limiting spectral distribution of the product of the Wigner matrix and a nonnegative definite matrix
由: Bai, Z.D., et al.
出版: (2014)

The complete hyper-surfaces with zero scalar curvature in ℝn+1
由: Yaowen, L., et al.
出版: (2014)

Nonparametric estimate of spectral density functions of sample covariance matrices: A first step
由: Jing, B.-Y., et al.
出版: (2014)

Evaluation of Covariance Matrix Adaptation Evolution Strategy, Shuffled Complex Evolution and Firefly Algorithms for phase stability, phase equilibrium and chemical equilibrium problems
由: Fateen, S.E.K., et al.
出版: (2014)

Robust Bayesian model selection
由: LI, Yong, et al.
出版: (2013)

Implementation of a covariance-based principal component analysis algorithm with a CUDA-enabled graphics processing unit
由: Zhang, J., et al.
出版: (2014)

A quadratically convergent newton method for computing the nearest correlation matrix
由: Qi, H., et al.
出版: (2014)

ESTIMATION AND OPTIMIZATION OF LOGIT DEMAND MODEL WITH COVARIATES, CENSORED DATA, AND AUXILIARY INFORMATION
由: LI BAIYU
出版: (2016)