Cholesky-based model averaging for covariance matrix estimation
Estimation of large covariance matrices is of great importance in multivariate analysis. The modified Cholesky decomposition is a commonly used technique in covariance matrix estimation given a specific order of variables. However, information on the order of variables is often unknown, or cannot be...
| Հիմնական հեղինակներ: | , , , |
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| Ձևաչափ: | Հոդված |
| Լեզու: | English |
| Հրապարակվել է: |
Taylor & Francis Group
2017-01-01
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| Շարք: | Statistical Theory and Related Fields |
| Խորագրեր: | |
| Առցանց հասանելիություն: | http://dx.doi.org/10.1080/24754269.2017.1336831 |