High Dimensional Covariance Estimation

This book PDF is perfect for those who love Mathematics genre, written by Mohsen Pourahmadi and published by John Wiley & Sons which was released on 24 June 2013 with total hardcover pages 204. You could read this book directly on your devices with pdf, epub and kindle format, check detail and related High Dimensional Covariance Estimation books below.

High Dimensional Covariance Estimation
Author : Mohsen Pourahmadi
File Size : 43,6 Mb
Publisher : John Wiley & Sons
Language : English
Release Date : 24 June 2013
ISBN : 9781118034293
Pages : 204 pages
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High Dimensional Covariance Estimation by Mohsen Pourahmadi Book PDF Summary

Methods for estimating sparse and large covariance matrices 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. High-Dimensional Covariance Estimation features chapters on: Data, Sparsity, and Regularization Regularizing the Eigenstructure Banding, Tapering, and Thresholding Covariance Matrices Sparse Gaussian Graphical Models Multivariate Regression The book is an ideal resource for researchers in statistics, mathematics, business and economics, computer sciences, and engineering, as well as a useful text or supplement for graduate-level courses in multivariate analysis, covariance estimation, statistical learning, and high-dimensional data analysis.

High Dimensional Covariance Estimation

Methods for estimating sparse and large covariance matrices 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

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High Dimensional Covariance Matrix Estimation

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