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Journal of Statistical Computation and Simulation Volume 90, 2020 - Issue 3
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Articles

An improved modified cholesky decomposition approach for precision matrix estimation

Xiaoning KangInternational Business College and Institute of Supply Chain Analytics, Dongbei University of Finance and Economics, Dalian, People’s Republic of ChinaORCID Iconhttps://orcid.org/0000-0003-0394-6240
ORCID Icon &
Xinwei DengDepartment of Statistics, Virginia Tech, Blacksburg, VA, USACorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0002-1560-2405
ORCID Icon
Pages 443-464 | Received 18 Jan 2019, Accepted 29 Oct 2019, Published online: 07 Nov 2019

Citations (17)

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Read on this site (4)

Wenyu Yang & Xiaoning Kang. (2023) An improved banded estimation for large covariance matrix. Communications in Statistics - Theory and Methods 52:1, pages 141-155.
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Deliang Dai, Jianxin Pan & Yuli Liang. (2022) Regularized estimation of the Mahalanobis distance based on modified Cholesky decomposition. Communications in Statistics: Case Studies, Data Analysis and Applications 8:4, pages 559-573.
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Peng Tang, Huijing Jiang, Heeyoung Kim & Xinwei Deng. (2021) Robust estimation of sparse precision matrix using adaptive weighted graphical lasso approach. Journal of Nonparametric Statistics 33:2, pages 249-272.
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Xiaoning Kang, Xiaoyu Chen, Ran Jin, Hao Wu & Xinwei Deng. (2021) Multivariate regression of mixed responses for evaluation of visualization designs. IISE Transactions 53:3, pages 313-325.
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Articles from other publishers (13)

Wanfeng Liang, Yuhao Zhang, Jiyang Wang, Yue Wu & Xiaoyan Ma. (2024) A new approach for ultrahigh dimensional precision matrix estimation. Journal of Statistical Planning and Inference 232, pages 106164.
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Maaz Mahadi, Tarig Ballal, Muhammad Moinuddin, Tareq Y. Al-Naffouri & Ubaid M. Al-Saggaf. (2024) Regularized Linear Discriminant Analysis Using a Nonlinear Covariance Matrix Estimator. IEEE Transactions on Signal Processing 72, pages 1049-1064.
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Wanfeng Liang & Xiaoyan Ma. (2024) A new approach for ultrahigh-dimensional covariance matrix estimation. Statistics & Probability Letters 204, pages 109929.
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Xiaonan Zhu, Yu Chen & Jie Hu. (2024) Estimation of banded time-varying precision matrix based on SCAD and group lasso. Computational Statistics & Data Analysis 189, pages 107849.
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Zhenguo Gao, Xinye Wang & Xiaoning Kang. (2023) Ensemble LDA via the modified Cholesky decomposition. Computational Statistics & Data Analysis 188, pages 107823.
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Shaoxin Wang, Chaoping Xie & Xiaoning Kang. (2022) A novel robust estimation for high‐dimensional precision matrices. Statistics in Medicine 42:5, pages 656-675.
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Wanfeng Liang, Yue Wu & Hui Chen. (2022) Sparse covariance matrix estimation for ultrahigh dimensional data. Stat 11:1.
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Mingheng Chang, Hongchao Zuo & Jikai Duan. (2022) Modifying Covariance Localization to Mitigate Sampling Errors from the Ensemble Data Assimilation. Advances in Meteorology 2022, pages 1-17.
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Wanfeng Liang, Yue Wu & Xiaoyan Ma. (2022) Robust sparse precision matrix estimation for high-dimensional compositional data. Statistics & Probability Letters 184, pages 109379.
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Jonathan Gillard, Emily O’Riordan & Anatoly Zhigljavsky. (2022) Simplicial and Minimal-Variance Distances in Multivariate Data Analysis. Journal of Statistical Theory and Practice 16:1.
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Jungsuk Kim, Mengxi Wang, Donghyun Park & Cynthia Castillejos Petalcorin. (2021) Fiscal policy and economic growth: some evidence from China. Review of World Economics 157:3, pages 555-582.
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Xiaoning Kang & Xinwei Deng. (2020) On variable ordination of Cholesky‐based estimation for a sparse covariance matrix. Canadian Journal of Statistics 49:2, pages 283-310.
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Jesús Naín Pedroza-Montero, Francisco Antonio Delesma, José Luis Morales, Patrizia Calaminici & Andreas M. Köster. (2020) Variational fitting of the Fock exchange potential with modified Cholesky decomposition. The Journal of Chemical Physics 153:13.
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