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Showing 1 to 2 of 2 for “"Precision matrix estimation"”.
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Inference of high-dimensional linear models with time-varying coefficients
… 2, we propose an algorithm for covariance and precision matrix estimation high-dimensional transpose-able data. The method is based on a Kronecker product approximation of the graphical lasso and the application of the alternating directions method of multipliers minimization. A simulation …
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Model-based methods for high-dimensional multivariate analysis
… analysis model when the predictor is matrix valued. We simultaneously estimate the means and the precision matrix, which we assume has a Kronecker product decomposition. Our penalties encourage pairs of response category mean matrix estimators to have equal entries and also encourage …