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...

Πλήρης περιγραφή

Λεπτομέρειες βιβλιογραφικής εγγραφής
Κύριος συγγραφέας: Pourahmadi, Mohsen
Μορφή: Ηλ. βιβλίο
Γλώσσα:English
Έκδοση: Hoboken, NJ : Wiley, [2013]
Σειρά:Wiley series in probability and statistics.
Θέματα:
Διαθέσιμο Online:Full Text via HEAL-Link
Περιγραφή
Περίληψη:"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.
Φυσική περιγραφή:1 online resource (x, 184 pages) : illustrations.
Βιβλιογραφία:Includes bibliographical references and index.
ISBN:9781118573617
1118573617
9781118573655
111857365X
9781118573662
1118573668
DOI:10.1002/9781118573617