Related papers: High-dimensional covariance estimation by minimizi…

We consider the problem of estimating the graph associated with a binary Ising Markov random field. We describe a method based on $\ell_1$-regularized logistic regression, in which the neighborhood of any given node is estimated by…

This paper provides the relevant literature with a complete toolkit for conducting robust estimation and inference about the parameters of interest involved in a high-dimensional panel data framework. Specifically, (1) we allow for…

In covariance matrix estimation, one of the challenges lies in finding a suitable model and an efficient estimation method. Two commonly used modelling approaches in the literature involve imposing linear restrictions on the covariance…

Maximum likelihood estimation of large Markov-switching vector autoregressions (MS-VARs) can be challenging or infeasible due to parameter proliferation. To accommodate situations where dimensionality may be of comparable order to or…

A classical approach to accurately estimating the covariance matrix \Sigma of a p-variate normal distribution is to draw a sample of size n > p and form a sample covariance matrix. However, many modern applications operate with much smaller…

We consider the estimation of large covariance and precision matrices from high-dimensional sub-Gaussian or heavier-tailed observations with slowly decaying temporal dependence. The temporal dependence is allowed to be long-range so with…

We study the problem of estimating from data, a sparse approximation to the inverse covariance matrix. Estimating a sparsity constrained inverse covariance matrix is a key component in Gaussian graphical model learning, but one that is…

We study the problem of estimating the leading eigenvectors of a high-dimensional population covariance matrix based on independent Gaussian observations. We establish lower bounds on the rates of convergence of the estimators of the…

In this article we consider the graph alignment problem from the perspective of high-dimensional statistics: we aim to estimate an unknown permutation $\pi^*$ from the observation of two correlated random adjacency matrices $A_1$, $A_2$. We…

We consider distributed estimation of the inverse covariance matrix, also called the concentration or precision matrix, in Gaussian graphical models. Traditional centralized estimation often requires global inference of the covariance…

We consider the problem of jointly estimating multiple inverse covariance matrices from high-dimensional data consisting of distinct classes. An $\ell_2$-penalized maximum likelihood approach is employed. The suggested approach is flexible…

Missing data occur frequently in a wide range of applications. In this paper, we consider estimation of high-dimensional covariance matrices in the presence of missing observations under a general missing completely at random model in the…

This paper proposes a theory for $\ell_1$-norm penalized high-dimensional $M$-estimators, with nonconvex risk and unrestricted domain. Under high-level conditions, the estimators are shown to attain the rate of convergence…

Analyzing multi-layered graphical models provides insight into understanding the conditional relationships among nodes within layers after adjusting for and quantifying the effects of nodes from other layers. We obtain the penalized maximum…

This paper provides a comprehensive estimation framework for large covariance matrices via a log-det heuristics augmented by a nuclear norm plus $\ell_{1}$-norm penalty. We develop the model framework, which includes high-dimensional…

Given a sample of i.i.d. high-dimensional centered random vectors, we consider a problem of estimation of their covariance matrix $\Sigma$ with an additional assumption that $\Sigma$ can be represented as a sum of a few Kronecker products…

Motivated by the latest effort to employ banded matrices to estimate a high-dimensional covariance $\Sigma$, we propose a test for $\Sigma$ being banded with possible diverging bandwidth. The test is adaptive to the "large $p$, small $n$"…

We consider the problem of learning a graph modeling the statistical relations of the $d$ variables from a dataset with $n$ samples $X \in \mathbb{R}^{n \times d}$. Standard approaches amount to searching for a precision matrix $\Theta$…

Covariance estimation and selection for multivariate datasets in a high-dimensional regime is a fundamental problem in modern statistics. Gaussian graphical models are a popular class of models used for this purpose. Current Bayesian…

This paper studies the partial estimation of Gaussian graphical models from high-dimensional empirical observations. We derive a convex formulation for this problem using $\ell_1$-regularized maximum-likelihood estimation, which can be…