Ikeda, Yuki; Kubokawa, Tatsuya; Srivastava, Muni S. Comparison of linear shrinkage estimators of a large covariance matrix in normal and non-normal distributions. (English) Zbl 1468.62087 Comput. Stat. Data Anal. 95, 95-108 (2016). MSC: 62-08 62H12 62J07 PDFBibTeX XMLCite \textit{Y. Ikeda} et al., Comput. Stat. Data Anal. 95, 95--108 (2016; Zbl 1468.62087) Full Text: DOI Link
Wang, Peng; Zhou, Jianhui; Qu, Annie Correlation structure selection for longitudinal data with diverging cluster size. (English. French summary) Zbl 1352.62093 Can. J. Stat. 44, No. 3, 343-360 (2016). MSC: 62H20 62J12 PDFBibTeX XMLCite \textit{P. Wang} et al., Can. J. Stat. 44, No. 3, 343--360 (2016; Zbl 1352.62093) Full Text: DOI
Ikeda, Yuki; Kubokawa, Tatsuya Linear shrinkage estimation of large covariance matrices using factor models. (English) Zbl 1348.62075 J. Multivariate Anal. 152, 61-81 (2016). MSC: 62F12 62H12 62J07 PDFBibTeX XMLCite \textit{Y. Ikeda} and \textit{T. Kubokawa}, J. Multivariate Anal. 152, 61--81 (2016; Zbl 1348.62075) Full Text: DOI
Cai, T. Tony; Zhang, Anru Minimax rate-optimal estimation of high-dimensional covariance matrices with incomplete data. (English) Zbl 1347.62088 J. Multivariate Anal. 150, 55-74 (2016). MSC: 62H12 62J10 62C20 PDFBibTeX XMLCite \textit{T. T. Cai} and \textit{A. Zhang}, J. Multivariate Anal. 150, 55--74 (2016; Zbl 1347.62088) Full Text: DOI arXiv Link
Belton, Alexander; Guillot, Dominique; Khare, Apoorva; Putinar, Mihai Matrix positivity preservers in fixed dimension. I. (English) Zbl 1339.15016 Adv. Math. 298, 325-368 (2016). MSC: 15A86 15B48 15A22 15A45 49J40 PDFBibTeX XMLCite \textit{A. Belton} et al., Adv. Math. 298, 325--368 (2016; Zbl 1339.15016) Full Text: DOI arXiv
Lam, Clifford Nonparametric eigenvalue-regularized precision or covariance matrix estimator. (English) Zbl 1341.62124 Ann. Stat. 44, No. 3, 928-953 (2016). MSC: 62H12 62G20 15B52 PDFBibTeX XMLCite \textit{C. Lam}, Ann. Stat. 44, No. 3, 928--953 (2016; Zbl 1341.62124) Full Text: DOI Euclid
Peng, Liuhua; Chen, Song Xi; Zhou, Wen More powerful tests for sparse high-dimensional covariances matrices. (English) Zbl 1341.62149 J. Multivariate Anal. 149, 124-143 (2016). MSC: 62H15 62P10 PDFBibTeX XMLCite \textit{L. Peng} et al., J. Multivariate Anal. 149, 124--143 (2016; Zbl 1341.62149) Full Text: DOI
Cui, Xiangzhao; Li, Chun; Zhao, Jine; Zeng, Li; Zhang, Defei; Pan, Jianxin Regularization for high-dimensional covariance matrix. (English) Zbl 1341.62156 Spec. Matrices 4, 189-201 (2016). MSC: 62H20 62H99 PDFBibTeX XMLCite \textit{X. Cui} et al., Spec. Matrices 4, 189--201 (2016; Zbl 1341.62156) Full Text: DOI
Cai, T. Tony; Ren, Zhao; Zhou, Harrison H. Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation. (English) Zbl 1331.62272 Electron. J. Stat. 10, No. 1, 1-59 (2016). MSC: 62H12 62F12 62G09 62H25 PDFBibTeX XMLCite \textit{T. T. Cai} et al., Electron. J. Stat. 10, No. 1, 1--59 (2016; Zbl 1331.62272) Full Text: DOI Euclid
Cai, T. Tony; Zhang, Anru Inference for high-dimensional differential correlation matrices. (English) Zbl 1328.62328 J. Multivariate Anal. 143, 107-126 (2016). MSC: 62H12 62F12 PDFBibTeX XMLCite \textit{T. T. Cai} and \textit{A. Zhang}, J. Multivariate Anal. 143, 107--126 (2016; Zbl 1328.62328) Full Text: DOI arXiv
Fourdrinier, Dominique; Mezoued, Fatiha; Wells, Martin T. Estimation of the inverse scatter matrix of an elliptically symmetric distribution. (English) Zbl 1328.62337 J. Multivariate Anal. 143, 32-55 (2016). MSC: 62H12 62F10 62C99 PDFBibTeX XMLCite \textit{D. Fourdrinier} et al., J. Multivariate Anal. 143, 32--55 (2016; Zbl 1328.62337) Full Text: DOI
Chang, S.-M. Double shrinkage estimators for large sparse covariance matrices. (English) Zbl 1457.62167 J. Stat. Comput. Simulation 85, No. 8, 1497-1511 (2015). MSC: 62H12 62J07 62P10 62-08 PDFBibTeX XMLCite \textit{S. M. Chang}, J. Stat. Comput. Simulation 85, No. 8, 1497--1511 (2015; Zbl 1457.62167) Full Text: DOI Link
Phan, Duy Nhat; Le Thi, Hoai An; Dinh, Tao Pham A DC programming approach for sparse estimation of a covariance matrix. (English) Zbl 1370.90200 Le Thi, Hoai An (ed.) et al., Modelling, computation and optimization in information systems and management sciences. Proceedings of the 3rd international conference on modelling, computation and optimization in information systems and management sciences, MCO 2015, Lorraine, France, May 11–13, 2015. Part I. Cham: Springer (ISBN 978-3-319-18160-8/pbk; 978-3-319-18161-5/ebook). Advances in Intelligent Systems and Computing 359, 131-142 (2015). MSC: 90C26 62H12 PDFBibTeX XMLCite \textit{D. N. Phan} et al., Adv. Intell. Syst. Comput. 359, 131--142 (2015; Zbl 1370.90200) Full Text: DOI
Wang, Hao Scaling it up: stochastic search structure learning in graphical models. (English) Zbl 1335.62068 Bayesian Anal. 10, No. 2, 351-377 (2015). MSC: 62F15 62A09 62H12 62H30 68T05 62P05 PDFBibTeX XMLCite \textit{H. Wang}, Bayesian Anal. 10, No. 2, 351--377 (2015; Zbl 1335.62068) Full Text: DOI arXiv Euclid
Fan, Jianqing; Rigollet, Philippe; Wang, Weichen Estimation of functionals of sparse covariance matrices. (English) Zbl 1327.62338 Ann. Stat. 43, No. 6, 2706-2737 (2015). MSC: 62H12 62H15 62C20 62H25 PDFBibTeX XMLCite \textit{J. Fan} et al., Ann. Stat. 43, No. 6, 2706--2737 (2015; Zbl 1327.62338) Full Text: DOI arXiv Euclid
Fan, Jianqing; Liao, Yuan; Shi, Xiaofeng Risks of large portfolios. (English) Zbl 1331.91204 J. Econom. 186, No. 2, 367-387 (2015). MSC: 91G70 62H12 62H25 91G10 62P05 PDFBibTeX XMLCite \textit{J. Fan} et al., J. Econom. 186, No. 2, 367--387 (2015; Zbl 1331.91204) Full Text: DOI arXiv Link
Zhou, Sheng-Long; Xiu, Nai-Hua; Luo, Zi-Yan; Kong, Ling-Chen Sparse and low-rank covariance matrix estimation. (English) Zbl 1327.62428 J. Oper. Res. Soc. China 3, No. 2, 231-250 (2015). MSC: 62J10 65K05 90C90 PDFBibTeX XMLCite \textit{S.-L. Zhou} et al., J. Oper. Res. Soc. China 3, No. 2, 231--250 (2015; Zbl 1327.62428) Full Text: DOI arXiv
Jiang, Binyan An empirical estimator for the sparsity of a large covariance matrix under multivariate normal assumptions. (English) Zbl 1341.62121 Ann. Inst. Stat. Math. 67, No. 2, 211-227 (2015). MSC: 62H12 62F12 PDFBibTeX XMLCite \textit{B. Jiang}, Ann. Inst. Stat. Math. 67, No. 2, 211--227 (2015; Zbl 1341.62121) Full Text: DOI
Lian, Heng; Fan, Zengyan Estimation of a sparse and spiked covariance matrix. (English) Zbl 1320.62123 J. Nonparametric Stat. 27, No. 2, 241-252 (2015). MSC: 62H12 62H25 62J07 62P10 92D10 PDFBibTeX XMLCite \textit{H. Lian} and \textit{Z. Fan}, J. Nonparametric Stat. 27, No. 2, 241--252 (2015; Zbl 1320.62123) Full Text: DOI
Banerjee, Sayantan; Ghosal, Subhashis Bayesian structure learning in graphical models. (English) Zbl 1308.62119 J. Multivariate Anal. 136, 147-162 (2015). MSC: 62H12 62F12 62F15 PDFBibTeX XMLCite \textit{S. Banerjee} and \textit{S. Ghosal}, J. Multivariate Anal. 136, 147--162 (2015; Zbl 1308.62119) Full Text: DOI
Rothman, Adam J.; Forzani, Liliana On the existence of the weighted bridge penalized Gaussian likelihood precision matrix estimator. (English) Zbl 1309.62099 Electron. J. Stat. 8, No. 2, 2693-2700 (2014). MSC: 62H12 62H20 PDFBibTeX XMLCite \textit{A. J. Rothman} and \textit{L. Forzani}, Electron. J. Stat. 8, No. 2, 2693--2700 (2014; Zbl 1309.62099) Full Text: DOI Euclid
Banerjee, Sayantan; Ghosal, Subhashis Posterior convergence rates for estimating large precision matrices using graphical models. (English) Zbl 1302.62124 Electron. J. Stat. 8, No. 2, 2111-2137 (2014). MSC: 62H12 62F12 62F15 PDFBibTeX XMLCite \textit{S. Banerjee} and \textit{S. Ghosal}, Electron. J. Stat. 8, No. 2, 2111--2137 (2014; Zbl 1302.62124) Full Text: DOI arXiv Euclid
Lounici, Karim High-dimensional covariance matrix estimation with missing observations. (English) Zbl 1320.62124 Bernoulli 20, No. 3, 1029-1058 (2014). MSC: 62H12 PDFBibTeX XMLCite \textit{K. Lounici}, Bernoulli 20, No. 3, 1029--1058 (2014; Zbl 1320.62124) Full Text: DOI arXiv Euclid
Katayama, Shota High-dimensional mean estimation via \(\ell_1\) penalized normal likelihood. (English) Zbl 1360.62269 J. Multivariate Anal. 130, 90-106 (2014). MSC: 62H12 62J07 62F12 PDFBibTeX XMLCite \textit{S. Katayama}, J. Multivariate Anal. 130, 90--106 (2014; Zbl 1360.62269) Full Text: DOI
Paul, Debashis; Aue, Alexander Random matrix theory in statistics: a review. (English) Zbl 1287.62011 J. Stat. Plann. Inference 150, 1-29 (2014). MSC: 62H99 15B52 62H05 PDFBibTeX XMLCite \textit{D. Paul} and \textit{A. Aue}, J. Stat. Plann. Inference 150, 1--29 (2014; Zbl 1287.62011) Full Text: DOI Link
Abadir, Karim M.; Distaso, Walter; Žikeš, Filip Design-free estimation of variance matrices. (English) Zbl 1311.62078 J. Econom. 181, No. 2, 165-180 (2014). MSC: 62H12 62G05 15A18 PDFBibTeX XMLCite \textit{K. M. Abadir} et al., J. Econom. 181, No. 2, 165--180 (2014; Zbl 1311.62078) Full Text: DOI Link
Fan, Jianqing; Liao, Yuan; Mincheva, Martina [Hallin, Marc; Fryzlewicz, Piotr; Huang, Na; Zhang, Wenyang; Peng, Heng; Onatski, Alexei; Lam, Clifford; Hu, Charlie; Bailey, Natalia; Pesaran, M. Hashem; Yamagata, Takashi; Viroli, Cinzia; Montanari, Angela; Yu, Yi; Samworth, Richard J.; Critchley, Frank; Zhang, Jian; Kent, John T.; Ahmad, Amir; Hashmi, Sarosh; Halawani, Sami M.; Bouveyron, Charles; Coad, D. S.; Maruri-Aguilar, H.; Dang, Wei; Yu, Keming; Farnè, Matteo; Ferreira, Marco A. R.; Frommlet, Florian; Gijbels, I.; Herrmann, K.; Verhasselt, A.; Gilks, Wally; Holzmann, Hajo; Leister, Anna; Huang, Hanwen; Liu, Yufeng; Marron, J. S.; Shen, Dan; Shen, Haipeng; Huang, Jian; Zhou, Yong; Jung, Sungkyu; Fine, Jason P.; Linton, Oliver; Vogt, Michael; Liu, Han; Wang, Lie; Mateu, Jorge; Pan, Guangming; Pourahmadi, Mohsen; Tang, Cheng Yong; Fan, Yingying; Won, Joong-Ho; Jang, Woncheol; Lim, Johan; Xue, Lingzhou; Zou, Hui] Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors’ reply. (English) Zbl 1411.62138 J. R. Stat. Soc., Ser. B, Stat. Methodol. 75, No. 4, 603-680 (2013). MSC: 62H12 62H25 PDFBibTeX XMLCite \textit{J. Fan} et al., J. R. Stat. Soc., Ser. B, Stat. Methodol. 75, No. 4, 603--680 (2013; Zbl 1411.62138) Full Text: DOI arXiv
Yi, Feng; Zou, Hui SURE-tuned tapering estimation of large covariance matrices. (English) Zbl 1365.62209 Comput. Stat. Data Anal. 58, 339-351 (2013). MSC: 62H12 62J10 62-07 62P35 86A32 PDFBibTeX XMLCite \textit{F. Yi} and \textit{H. Zou}, Comput. Stat. Data Anal. 58, 339--351 (2013; Zbl 1365.62209) Full Text: DOI Link
Jiang, Binyan Covariance selection by thresholding the sample correlation matrix. (English) Zbl 1283.62123 Stat. Probab. Lett. 83, No. 11, 2492-2498 (2013). MSC: 62H20 62H99 PDFBibTeX XMLCite \textit{B. Jiang}, Stat. Probab. Lett. 83, No. 11, 2492--2498 (2013; Zbl 1283.62123) Full Text: DOI Link
Xue, Lingzhou; Zou, Hui Minimax optimal estimation of general bandable covariance matrices. (English) Zbl 1277.62145 J. Multivariate Anal. 116, 45-51 (2013). MSC: 62H12 62C20 62G20 PDFBibTeX XMLCite \textit{L. Xue} and \textit{H. Zou}, J. Multivariate Anal. 116, 45--51 (2013; Zbl 1277.62145) Full Text: DOI
Zhang, Rongmao; Peng, Liang; Wang, Ruodu Tests for covariance matrix with fixed or divergent dimension. (English) Zbl 1277.62151 Ann. Stat. 41, No. 4, 2075-2096 (2013). MSC: 62H15 62E20 62G10 62F40 65C60 PDFBibTeX XMLCite \textit{R. Zhang} et al., Ann. Stat. 41, No. 4, 2075--2096 (2013; Zbl 1277.62151) Full Text: DOI arXiv Euclid
Birnbaum, Aharon; Johnstone, Iain M.; Nadler, Boaz; Paul, Debashis Minimax bounds for sparse PCA with noisy high-dimensional data. (English) Zbl 1292.62071 Ann. Stat. 41, No. 3, 1055-1084 (2013). MSC: 62G20 62H25 PDFBibTeX XMLCite \textit{A. Birnbaum} et al., Ann. Stat. 41, No. 3, 1055--1084 (2013; Zbl 1292.62071) Full Text: DOI arXiv Euclid
Cai, T. Tony; Zhou, Harrison H. Optimal rates of convergence for sparse covariance matrix estimation. (English) Zbl 1373.62247 Ann. Stat. 40, No. 5, 2389-2420 (2012). MSC: 62H12 62F12 PDFBibTeX XMLCite \textit{T. T. Cai} and \textit{H. H. Zhou}, Ann. Stat. 40, No. 5, 2389--2420 (2012; Zbl 1373.62247) Full Text: DOI arXiv Euclid
Zhou, Jianhui; Qu, Annie Informative estimation and selection of correlation structure for longitudinal data. (English) Zbl 1261.62054 J. Am. Stat. Assoc. 107, No. 498, 701-710 (2012). MSC: 62H20 62H12 65C60 PDFBibTeX XMLCite \textit{J. Zhou} and \textit{A. Qu}, J. Am. Stat. Assoc. 107, No. 498, 701--710 (2012; Zbl 1261.62054) Full Text: DOI
Fan, Jianqing; Li, Yingying; Yu, Ke Vast volatility matrix estimation using high-frequency data for portfolio selection. (English) Zbl 1328.91266 J. Am. Stat. Assoc. 107, No. 497, 412-428 (2012). MSC: 91G10 62H12 62P05 PDFBibTeX XMLCite \textit{J. Fan} et al., J. Am. Stat. Assoc. 107, No. 497, 412--428 (2012; Zbl 1328.91266) Full Text: DOI arXiv
Cai, T. Tony; Yuan, Ming Adaptive covariance matrix estimation through block thresholding. (English) Zbl 1257.62060 Ann. Stat. 40, No. 4, 2014-2042 (2012). MSC: 62H12 62C20 62F12 65C60 PDFBibTeX XMLCite \textit{T. T. Cai} and \textit{M. Yuan}, Ann. Stat. 40, No. 4, 2014--2042 (2012; Zbl 1257.62060) Full Text: DOI arXiv Euclid
Xue, Lingzhou; Ma, Shiqian; Zou, Hui Positive-definite \(\ell_1\)-penalized estimation of large covariance matrices. (English) Zbl 1258.62063 J. Am. Stat. Assoc. 107, No. 500, 1480-1491 (2012). MSC: 62H12 62F12 65C60 PDFBibTeX XMLCite \textit{L. Xue} et al., J. Am. Stat. Assoc. 107, No. 500, 1480--1491 (2012; Zbl 1258.62063) Full Text: DOI arXiv
Qiu, Yumou; Chen, Song Xi Test for bandedness of high-dimensional covariance matrices and bandwidth estimation. (English) Zbl 1257.62064 Ann. Stat. 40, No. 3, 1285-1314 (2012). MSC: 62H15 62G10 62H12 62G05 62G20 65C60 PDFBibTeX XMLCite \textit{Y. Qiu} and \textit{S. X. Chen}, Ann. Stat. 40, No. 3, 1285--1314 (2012; Zbl 1257.62064) Full Text: DOI arXiv Euclid
Vershynin, Roman How close is the sample covariance matrix to the actual covariance matrix? (English) Zbl 1365.62208 J. Theor. Probab. 25, No. 3, 655-686 (2012). MSC: 62H12 60B20 PDFBibTeX XMLCite \textit{R. Vershynin}, J. Theor. Probab. 25, No. 3, 655--686 (2012; Zbl 1365.62208) Full Text: DOI arXiv
Levina, Elizaveta; Vershynin, Roman Partial estimation of covariance matrices. (English) Zbl 1318.62179 Probab. Theory Relat. Fields 153, No. 3-4, 405-419 (2012). MSC: 62H12 60B20 PDFBibTeX XMLCite \textit{E. Levina} and \textit{R. Vershynin}, Probab. Theory Relat. Fields 153, No. 3--4, 405--419 (2012; Zbl 1318.62179) Full Text: DOI arXiv
Lan, Wei; Wang, Hansheng; Tsai, Chih-Ling A Bayesian information criterion for portfolio selection. (English) Zbl 1241.91142 Comput. Stat. Data Anal. 56, No. 1, 88-99 (2012). MSC: 91G70 91G10 PDFBibTeX XMLCite \textit{W. Lan} et al., Comput. Stat. Data Anal. 56, No. 1, 88--99 (2012; Zbl 1241.91142) Full Text: DOI
Yin, Jianxin; Li, Hongzhe Model selection and estimation in the matrix normal graphical model. (English) Zbl 1236.62058 J. Multivariate Anal. 107, 119-140 (2012). MSC: 62H12 92C40 05C99 65C05 62H99 62P10 92D10 PDFBibTeX XMLCite \textit{J. Yin} and \textit{H. Li}, J. Multivariate Anal. 107, 119--140 (2012; Zbl 1236.62058) Full Text: DOI
Fisher, Thomas J.; Sun, Xiaoqian Improved Stein-type shrinkage estimators for the high-dimensional multivariate normal covariance matrix. (English) Zbl 1328.62336 Comput. Stat. Data Anal. 55, No. 5, 1909-1918 (2011). MSC: 62H12 62J07 PDFBibTeX XMLCite \textit{T. J. Fisher} and \textit{X. Sun}, Comput. Stat. Data Anal. 55, No. 5, 1909--1918 (2011; Zbl 1328.62336) Full Text: DOI
Fan, Jianqing; Liao, Yuan; Mincheva, Martina High-dimensional covariance matrix estimation in approximate factor models. (English) Zbl 1246.62151 Ann. Stat. 39, No. 6, 3320-3356 (2011). MSC: 62H25 62H12 62F12 PDFBibTeX XMLCite \textit{J. Fan} et al., Ann. Stat. 39, No. 6, 3320--3356 (2011; Zbl 1246.62151) Full Text: DOI arXiv Euclid
Pourahmadi, Mohsen Covariance estimation: the GLM and regularization perspectives. (English) Zbl 1246.62139 Stat. Sci. 26, No. 3, 369-387 (2011). MSC: 62H12 62J12 65C60 PDFBibTeX XMLCite \textit{M. Pourahmadi}, Stat. Sci. 26, No. 3, 369--387 (2011; Zbl 1246.62139) Full Text: DOI arXiv Euclid
Bickel, Peter J.; Gel, Yulia R. Banded regularization of autocovariance matrices in application to parameter estimation and forecasting of time series. (English) Zbl 1228.62106 J. R. Stat. Soc., Ser. B, Stat. Methodol. 73, No. 5, 711-728 (2011). MSC: 62M10 62M20 62F12 65C60 62P12 PDFBibTeX XMLCite \textit{P. J. Bickel} and \textit{Y. R. Gel}, J. R. Stat. Soc., Ser. B, Stat. Methodol. 73, No. 5, 711--728 (2011; Zbl 1228.62106) Full Text: DOI
Ruan, Lingyan; Yuan, Ming; Zou, Hui Regularized parameter estimation in high-dimensional Gaussian mixture models. (English) Zbl 1217.62044 Neural Comput. 23, No. 6, 1605-1622 (2011). MSC: 62G05 65C60 62H30 62G08 PDFBibTeX XMLCite \textit{L. Ruan} et al., Neural Comput. 23, No. 6, 1605--1622 (2011; Zbl 1217.62044) Full Text: DOI Link
Zhou, Hui; Pan, Wei; Shen, Xiaotong Penalized model-based clustering with unconstrained covariance matrices. (English) Zbl 1326.62143 Electron. J. Stat. 3, 1473-1496 (2009). MSC: 62H30 62J07 PDFBibTeX XMLCite \textit{H. Zhou} et al., Electron. J. Stat. 3, 1473--1496 (2009; Zbl 1326.62143) Full Text: DOI Euclid
Daye, Z. John; Jeng, X. Jessie Shrinkage and model selection with correlated variables via weighted fusion. (English) Zbl 1452.62049 Comput. Stat. Data Anal. 53, No. 4, 1284-1298 (2009). MSC: 62-08 62J05 62J07 62H12 PDFBibTeX XMLCite \textit{Z. J. Daye} and \textit{X. J. Jeng}, Comput. Stat. Data Anal. 53, No. 4, 1284--1298 (2009; Zbl 1452.62049) Full Text: DOI
Böhm, Hilmar; von Sachs, Rainer Structural shrinkage of nonparametric spectral estimators for multivariate time series. (English) Zbl 1320.62198 Electron. J. Stat. 2, 696-721 (2008). MSC: 62M10 62M15 62J07 PDFBibTeX XMLCite \textit{H. Böhm} and \textit{R. von Sachs}, Electron. J. Stat. 2, 696--721 (2008; Zbl 1320.62198) Full Text: DOI arXiv Euclid