Estimation of covariance, correlation and precision matrices for high-dimensional data
The thesis concerns estimating large correlation and covariance matrices and their inverses. Two new methods are proposed. First, tilting-based methods are proposed to estimate the precision matrix of a p-dimensional random variable, X, when p is possibly much larger than the sample size n. Each 2 b...
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London School of Economics and Political Science (University of London)
2016
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.697591 |