Related papers: Estimating Large Precision Matrices via Modified C…

We introduce a general strategy for defining distributions over the space of sparse symmetric positive definite matrices. Our method utilizes the Cholesky factorization of the precision matrix, imposing sparsity through constraints on its…

In this work, we propose a scalable Bayesian procedure for learning the local dependence structure in a high-dimensional model where the variables possess a natural ordering. The ordering of variables can be indexed by time, the vicinities…

In many applications, data come with a natural ordering. This ordering can often induce local dependence among nearby variables. However, in complex data, the width of this dependence may vary, making simple assumptions such as a constant…

Estimation of covariance matrices is a fundamental problem in multivariate statistics. Recently, growing efforts have focused on incorporating covariate effects into these matrices, facilitating subject-specific estimation. Despite these…

Estimating large covariance matrices has been a longstanding important problem in many applications and has attracted increased attention over several decades. This paper deals with two methods based on pre-existing works to impose sparsity…

A constrained L1 minimization method is proposed for estimating a sparse inverse covariance matrix based on a sample of $n$ iid $p$-variate random variables. The resulting estimator is shown to enjoy a number of desirable properties. In…

The sparse Cholesky parametrization of the inverse covariance matrix can be interpreted as a Gaussian Bayesian network; however its counterpart, the covariance Cholesky factor, has received, with few notable exceptions, little attention so…

In this paper, we consider the estimation and inference of precision matrices of a rich class of locally stationary and nonlinear time series assuming that only one realization of the time series is observed. Using a Cholesky decomposition…

Covariance estimation for high-dimensional datasets is a fundamental problem in modern day statistics with numerous applications. In these high dimensional datasets, the number of variables p is typically larger than the sample size n. A…

We develop an accelerated algorithm for computing an approximate eigenvalue decomposition of bistochastic normalized kernel matrices. Our approach constructs a low rank approximation of the original kernel matrix by the pivoted partial…

This work aims at estimating inverse autocovariance matrices of long memory processes admitting a linear representation. A modified Cholesky decomposition is used in conjunction with an increasing order autoregressive model to achieve this…

In this paper we present a method for matrix inversion based on Cholesky decomposition with reduced number of operations by avoiding computation of intermediate results; further, we use fixed point simulations to compare the numerical…

Kernel methods represent some of the most popular machine learning tools for data analysis. Since exact kernel methods can be prohibitively expensive for large problems, reliable low-rank matrix approximations and high-performance…

The description of weakly bound electronic states is especially difficult with atomic orbital basis sets. The diffuse atomic basis functions that are necessary to describe the extended electronic state generate significant linear…

A novel adaptive Markov chain Monte Carlo algorithm is presented. The algorithm utilizes sparsity in the partial correlation structure of a density to efficiently estimate the covariance matrix through the Cholesky factor of the precision…

The paper proposes a method for constructing a sparse estimator for the inverse covariance (concentration) matrix in high-dimensional settings. The estimator uses a penalized normal likelihood approach and forces sparsity by using a…

Our interest lies in the robust and efficient solution of large sparse linear least-squares problems. In recent years, hardware developments have led to a surge in interest in exploiting mixed precision arithmetic within numerical linear…

We investigate the continuous analogue of the Cholesky factorization, namely the pivoted Cholesky algorithm. Our analysis establishes quantitative convergence guarantees for kernels of minimal smoothness. We prove that for a symmetric…

Dense kernel matrices resulting from pairwise evaluations of a kernel function arise naturally in machine learning and statistics. Previous work in constructing sparse approximate inverse Cholesky factors of such matrices by minimizing…

The randomly pivoted partial Cholesky algorithm (RPCholesky) computes a factorized rank-k approximation of an N x N positive-semidefinite (psd) matrix. RPCholesky requires only (k + 1) N entry evaluations and O(k^2 N) additional arithmetic…