Search Results - subject:"Precision matrix"

Sparse precision matrices for minimum variance portfolios

Torri, Gabriele; Giacometti, Rosella; Paterlini, Sandra - In: Computational Management Science : CMS 16 (2019) 3, pp. 375-400

Persistent link: https://www.econbiz.de/10012053143

Confidence regions for entries of a large precision matrix

Chang, Jinyuan; Qiu, Yumou; Yao, Qiwei; Zou, Tao - In: Journal of econometrics 206 (2018) 1, pp. 57-82

Persistent link: https://www.econbiz.de/10012110361

Incorporating global industrial classification standard into portfolio allocation : a simple factor-based large covariance matrix : estimator with high-frequency data

Fan, Jianqing; Furger, Alex; Xiu, Dacheng - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 489-503

Persistent link: https://www.econbiz.de/10011692389

Bayesian structure learning in graphical models

Banerjee, Sayantan; Ghosal, Subhashis - In: Journal of Multivariate Analysis 136 (2015) C, pp. 147-162

We consider the problem of estimating a sparse precision matrix of a multivariate Gaussian distribution, where the … rate of the precision matrix is obtained and is shown to match the oracle rate. The posterior distribution on the model … mixture of a point mass at zero and certain absolutely continuous distribution on off-diagonal elements of the precision …

Persistent link: https://www.econbiz.de/10011208468

High-dimensional sparse MANOVA

Cai, T. Tony; Xia, Yin - In: Journal of Multivariate Analysis 131 (2014) C, pp. 174-196

that is based on a linear transformation of the data by the precision matrix which incorporates the dependence structure of …

Persistent link: https://www.econbiz.de/10010930753

Estimation of the Cholesky decomposition in a conditional independent normal model with missing data

He, Daojiang; Xu, Kai - In: Statistics & Probability Letters 88 (2014) C, pp. 27-39

We investigate the problem of estimating the Cholesky decomposition in a conditional independent normal model with missing data. Explicit expressions for the maximum likelihood estimators and unbiased estimators are derived. By introducing a special group, we obtain the best equivariant estimators.

Persistent link: https://www.econbiz.de/10010752976

Objective priors for generative star-shape models

Liang, Ye; Sun, Dongchu - In: Statistics & Probability Letters 82 (2012) 5, pp. 991-997

With sparse structures and conditional independence, one could estimate the precision matrix of Gaussian graphical …

Persistent link: https://www.econbiz.de/10010571826

Estimation of the precision matrix of multivariate Pearson type II model

Sarr, Amadou; Gupta, Arjun; Joarder, Anwar - In: Metrika 69 (2009) 1, pp. 31-44

Persistent link: https://www.econbiz.de/10005598767

Estimation of the precision matrix of multivariate Kotz type model

Sarr, Amadou; Gupta, Arjun K. - In: Journal of Multivariate Analysis 100 (2009) 4, pp. 742-752

In this paper, the problem of estimating the precision matrix of a multivariate Kotz type model is considered. First …

Persistent link: https://www.econbiz.de/10005221243

Optimal designs under a multivariate linear model with additional nuisance parameters

Filipiak, Katarzyna; Markiewicz, Augustyn; … - In: Statistical Papers 50 (2009) 4, pp. 761-778

Persistent link: https://www.econbiz.de/10008566219