Covariance regularization by thresholding

20 January 2009

Elizaveta Levina

Papers citing "Covariance regularization by thresholding"

50 / 113 papers shown

Title
On Support Recovery with Sparse CCA: Information Theoretic and Computational Limits Nilanjana Laha Rajarshi Mukherjee 31 4 0 14 Aug 2021
A unified precision matrix estimation framework via sparse column-wise inverse operator under weak sparsity Zeyu Wu Cheng-Long Wang Weidong Liu 36 3 0 07 Jul 2021
Learning Gaussian Graphical Models with Latent Confounders Ke Wang Alexander M. Franks Sang-Yun Oh CML 32 2 0 14 May 2021
Covariance estimation under one-bit quantization S. Dirksen J. Maly Holger Rauhut MQ 28 20 0 02 Apr 2021
ScreeNOT: Exact MSE-Optimal Singular Value Thresholding in Correlated Noise D. Donoho M. Gavish Elad Romanov 12 27 0 25 Sep 2020
Prediction in locally stationary time series Holger Dette Weichi Wu 27 21 0 02 Jan 2020
Model-free Feature Screening and FDR Control with Knockoff Features Wanjun Liu Y. Ke Jingyuan Liu Runze Li 24 56 0 19 Aug 2019
Certifiably Optimal Sparse Inverse Covariance Estimation Dimitris Bertsimas Jourdain Lamperski J. Pauphilet 19 13 0 25 Jun 2019
Optimal spectral shrinkage and PCA with heteroscedastic noise Qiangqiang Wu Yanjie Liang 20 25 0 06 Nov 2018
Adapting to Unknown Noise Distribution in Matrix Denoising Andrea Montanari Feng Ruan Jun Yan 31 13 0 06 Oct 2018
A Survey on Nonconvex Regularization Based Sparse and Low-Rank Recovery in Signal Processing, Statistics, and Machine Learning Fei Wen L. Chu Peilin Liu Robert C. Qiu 23 153 0 16 Aug 2018
Robust high dimensional factor models with applications to statistical machine learning Jianqing Fan Kaizheng Wang Yiqiao Zhong Ziwei Zhu 32 53 0 12 Aug 2018
Covariance-Insured Screening Kevin He Jian Kang H. Hong Ji Zhu Yanming Li Huazhen Lin Han Xu Yi Li 21 10 0 17 May 2018
Finite sample change point inference and identification for high-dimensional mean vectors Mengjia Yu Xiaohui Chen 29 37 0 23 Nov 2017
On the Relationship between Conditional (CAR) and Simultaneous (SAR) Autoregressive Models J. V. Ver Hoef E. Hanks M. Hooten 21 55 0 19 Oct 2017
Embracing the Blessing of Dimensionality in Factor Models Quefeng Li Guang Cheng Jianqing Fan Yuyan Wang 27 34 0 25 Oct 2016
An Exponential Inequality for U-Statistics under Mixing Conditions Fang Han 22 24 0 22 Sep 2016
Graph-Guided Banding of the Covariance Matrix Jacob Bien 11 6 0 01 Jun 2016
Minimax Rate-optimal Estimation of High-dimensional Covariance Matrices with Incomplete Data T. Tony Cai Anru R. Zhang 19 37 0 14 May 2016
Sparse transition matrix estimation for high-dimensional and locally stationary vector autoregressive models Xin Ding Ziyi Qiu Xiaohui Chen 37 14 0 14 Apr 2016
Two-sample tests for high-dimension, strongly spiked eigenvalue models M. Aoshima K. Yata 11 46 0 08 Feb 2016
Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes Denis Belomestny Mathias Trabs 25 12 0 15 Oct 2015
New Optimisation Methods for Machine Learning Aaron Defazio 41 6 0 09 Oct 2015
High-dimensional robust precision matrix estimation: Cellwise corruption under $ε$ -contamination Po-Ling Loh X. Tan 19 30 0 24 Sep 2015
The Spectral Norm of Random Inner-Product Kernel Matrices Z. Fan Andrea Montanari 24 47 0 19 Jul 2015
Honest confidence regions and optimality in high-dimensional precision matrix estimation Jana Janková Sara van de Geer 54 74 0 08 Jul 2015
Robust Covariance and Scatter Matrix Estimation under Huber's Contamination Model Mengjie Chen Chao Gao Zhao Ren 25 164 0 01 Jun 2015
Scaling It Up: Stochastic Search Structure Learning in Graphical Models Hao Wang 34 114 0 07 May 2015
High-dimensional quadratic classifiers in non-sparse settings M. Aoshima K. Yata 31 21 0 16 Mar 2015
Provable Sparse Tensor Decomposition W. Sun Junwei Lu Han Liu Guang Cheng 31 127 0 05 Feb 2015
Estimation of Large Covariance and Precision Matrices from Temporally Dependent Observations Hai Shu B. Nan 36 20 0 16 Dec 2014
Robust Estimation of High-Dimensional Mean Regression Jianqing Fan Quefeng Li Yuyan Wang 31 30 0 08 Oct 2014
Inference for High-dimensional Differential Correlation Matrices T. Cai Anru R. Zhang 49 29 0 25 Aug 2014
SURE Information Criteria for Large Covariance Matrix Estimation and Their Asymptotic Properties Danning Li H. Zou 35 11 0 25 Jun 2014
Simulation-Based Hypothesis Testing of High Dimensional Means Under Covariance Heterogeneity Jinyuan Chang Chaowen Zheng Wen-Xin Zhou Wen Zhou 47 64 0 08 Jun 2014
Confidence intervals for high-dimensional inverse covariance estimation Jana Janková Sara van de Geer 66 185 0 26 Mar 2014
Covariance and precision matrix estimation for high-dimensional time series Xiaohui Chen Mengyu Xu Wei Biao Wu AI4TS 70 146 0 06 Jan 2014
Asymptotically Normal and Efficient Estimation of Covariate-Adjusted Gaussian Graphical Model Mengjie Chen Zhao Ren Hongyu Zhao Harrison H. Zhou 27 59 0 23 Sep 2013
Challenges of Big Data Analysis Jianqing Fan Fang Han Han Liu 74 1,278 0 07 Aug 2013
Geometric median and robust estimation in Banach spaces Stanislav Minsker 51 308 0 06 Aug 2013
A Direct Estimation of High Dimensional Stationary Vector Autoregressions Fang Han Huanran Lu Han Liu 66 120 0 01 Jul 2013
High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: Risk underestimation N. Karoui 51 100 0 13 Nov 2012
Gemini: Graph estimation with matrix variate normal instances Shuheng Zhou 66 105 0 23 Sep 2012
Test for bandedness of high-dimensional covariance matrices and bandwidth estimation Yumou Qiu Songxi Chen 62 65 0 16 Aug 2012
Two sample tests for high-dimensional covariance matrices Jun Yu Li Songxi Chen 82 224 0 05 Jun 2012
Estimating sufficient reductions of the predictors in abundant high-dimensional regressions R. Cook L. Forzani Adam J. Rothman 61 30 0 30 May 2012
Minimax bounds for sparse PCA with noisy high-dimensional data Aharon Birnbaum Iain M. Johnstone B. Nadler D. Paul 51 181 0 05 Mar 2012
Optimal detection of sparse principal components in high dimension Quentin Berthet Philippe Rigollet 60 284 0 23 Feb 2012
Minimax Rates of Estimation for Sparse PCA in High Dimensions Vincent Q. Vu Jing Lei 59 142 0 03 Feb 2012
High-dimensional covariance matrix estimation with missing observations Karim Lounici 49 182 0 12 Jan 2012