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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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
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245 1 0 |a High-dimensional covariance estimation /  |c Mohsen Pourahmadi. 
264 1 |a Hoboken, NJ :  |b Wiley,  |c [2013] 
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520 |a "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. 
588 0 |a Print version record. 
650 0 |a Analysis of covariance. 
650 0 |a Multivariate analysis. 
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650 7 |a Multivariate analysis.  |2 fast  |0 (OCoLC)fst01029105 
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