High-dimensional covariance estimation /
"Covariance and correlation matrices play fundamental roles in every aspect of the analysis of multivariate data collected from a variety of fields including business and economics, health care, engineering, and environmental and physical sciences. High-Dimensional Covariance Estimation provide...
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| Format: | eBook |
| Language: | English |
| Published: |
Hoboken, NJ :
Wiley,
[2013]
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| Series: | Wiley series in probability and statistics.
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| Subjects: | |
| Online Access: | Full Text via HEAL-Link |
| Summary: | "Covariance and correlation matrices play fundamental roles in every aspect of the analysis of multivariate data collected from a variety of fields including business and economics, health care, engineering, and environmental and physical sciences. High-Dimensional Covariance Estimation provides accessible and comprehensive coverage of the classical and modern approaches for estimating covariance matrices as well as their applications to the rapidly developing areas lying at the intersection of statistics and machine learning. Recently, the classical sample covariance methodologies have been modified and improved upon to meet the needs of statisticians and researchers dealing with large correlated datasets. High-Dimensional Covariance Estimation focuses on the methodologies based on shrinkage, thresholding, and penalized likelihood with applications to Gaussian graphical models, prediction, and mean-variance portfolio management. The book relies heavily on regression-based ideas and interpretations to connect and unify many existing methods and algorithms for the task."--Publisher's website. |
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| Physical Description: | 1 online resource (x, 184 pages) : illustrations. |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: | 9781118573617 1118573617 9781118573655 111857365X 9781118573662 1118573668 |
| DOI: | 10.1002/9781118573617 |
