Search Results - subject:"Modified Cholesky decomposition"

Joint estimation of mean-covariance model for longitudinal data with basis function approximations

Mao, J; Zhu, Z; Fung, WK - 2011

Cholesky decomposition of the covariance matrix, we construct the joint mean-covariance model by modeling the smooth functions … a semiparametric model for the mean so as to provide a stable estimate of the covariance matrix. Based on the modified …

Persistent link: https://www.econbiz.de/10009480965

Estimation of large precision matrices through block penalization

Lam, Clifford - London School of Economics (LSE) - 2008

. We form blocks of parameters based on each off-diagonal band of the Cholesky factor from its modified Cholesky … decomposition, and penalize each block of parameters using the $L_2$-norm instead of individual elements. We develop a one …

Persistent link: https://www.econbiz.de/10010745777

Robust estimation in joint mean–covariance regression model for longitudinal data

Zheng, Xueying; Fung, Wing; Zhu, Zhongyi - In: Annals of the Institute of Statistical Mathematics 65 (2013) 4, pp. 617-638

In this paper, we develop robust estimation for the mean and covariance jointly for the regression model of longitudinal data within the framework of generalized estimating equations (GEE). The proposed approach integrates the robust method and joint mean–covariance regression modeling. Robust...

Persistent link: https://www.econbiz.de/10010848628