We propose a nonparametric method for identifying parsimony and for producing a statistically efficient estimator of a large covariance matrix. We reparameterise a covariance matrix through the modified Cholesky decomposition of its inverse or the one-step-ahead predictive representation of the...

Chen & Dunson ([3]) have proposed a modified Cholesky decomposition of the form σ = D L L′D for a covariance matrix where D is a diagonal matrix with entries proportional to the square roots of the diagonal entries of Σ and L is a unit lower-triangular matrix solely determining its...