Please use this identifier to cite or link to this item:
https://doi.org/10.1093/biomet/asr045
DC Field | Value | |
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dc.title | Forward adaptive banding for estimating large covariance matrices | |
dc.contributor.author | Leng, C. | |
dc.contributor.author | Li, B. | |
dc.date.accessioned | 2014-10-28T05:12:15Z | |
dc.date.available | 2014-10-28T05:12:15Z | |
dc.date.issued | 2011-12 | |
dc.identifier.citation | Leng, C., Li, B. (2011-12). Forward adaptive banding for estimating large covariance matrices. Biometrika 98 (4) : 821-830. ScholarBank@NUS Repository. https://doi.org/10.1093/biomet/asr045 | |
dc.identifier.issn | 00063444 | |
dc.identifier.uri | http://scholarbank.nus.edu.sg/handle/10635/105153 | |
dc.description.abstract | We propose a simple forward adaptive banding method for estimating large covariance matrices using the modified Cholesky decomposition. This approach requires the fitting of a prespecified set of models due to the adaptive banding structure and can be efficiently implemented. Aside from its computational attractiveness, we propose a novel Bayes information criterion that gives consistent model selection for estimating high dimensional covariance matrices. The method compares favourably to its competitors in simulation study. © 2011 Biometrika Trust. | |
dc.source | Scopus | |
dc.subject | Adaptive banding | |
dc.subject | Bic | |
dc.subject | Lasso | |
dc.subject | Modified Cholesky decomposition | |
dc.subject | Variable selection | |
dc.type | Article | |
dc.contributor.department | STATISTICS & APPLIED PROBABILITY | |
dc.description.doi | 10.1093/biomet/asr045 | |
dc.description.sourcetitle | Biometrika | |
dc.description.volume | 98 | |
dc.description.issue | 4 | |
dc.description.page | 821-830 | |
dc.description.coden | BIOKA | |
dc.identifier.isiut | 000297366000005 | |
Appears in Collections: | Staff Publications |
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