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Forward adaptive banding for estimating large covariance matrices
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Leng, Chenlei and Li, Bo (2011) Forward adaptive banding for estimating large covariance matrices. Biometrika, Volume 98 (Number 4). pp. 821-830. doi:10.1093/biomet/asr045 ISSN 0006-3444.
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Official URL: http://dx.doi.org/10.1093/biomet/asr045
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.
Item Type: | Journal Article | ||||
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Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Journal or Publication Title: | Biometrika | ||||
Publisher: | Biometrika Trust | ||||
ISSN: | 0006-3444 | ||||
Official Date: | 30 September 2011 | ||||
Dates: |
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Volume: | Volume 98 | ||||
Number: | Number 4 | ||||
Number of Pages: | 9 | ||||
Page Range: | pp. 821-830 | ||||
DOI: | 10.1093/biomet/asr045 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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