相关论文: Automatic Methods for Handling Nearly Singular Cov…

We introduce a new sparse sliced inverse regression estimator called Cholesky matrix penalization and its adaptive version for achieving sparsity in estimating the dimensions of the central subspace. The new estimators use the Cholesky…

We present a method to approximate Gaussian process regression models for large datasets by considering only a subset of the data. Our approach is novel in that the size of the subset is selected on the fly during exact inference with…

In this paper, we propose a new approach to justify a round-off error impact on the accuracy of the linear least squares (LS) solution using Cholesky decomposition. This decomposition is widely employed to inverse a matrix in the linear…

In this paper, we prove that if the matrix of the linear system is symetric, the Cholesky decomposition can be obtained from the Gauss elimination method without pivoting, without proving that the matrix of the system is positive definite.

Maximum likelihood style estimators possesses a number of ideal characteristics, but require prior identification of the distribution of errors to ensure exact unbiasedness. Independent of the focus of the primary statistical analysis, the…

This work considers Maximum Likelihood Estimation (MLE) of a Toeplitz structured covariance matrix. In this regard, an equivalent reformulation of the MLE problem is introduced and two iterative algorithms are proposed for the optimization…

Standard cosmological weak lensing analyses using cosmic shear are inevitably sensitive to small-scale, non-linear clustering from low-redshift structures. The need to adequately model the clustering of matter on this non-linear regime,…

We consider discrete linear Chebyshev approximation problems in which the unknown parameters of linear function are fitted by minimizing the maximum absolute deviation of errors. Such problems find application in the solution of…

In many practical situations we would like to estimate the covariance matrix of a set of variables from an insufficient amount of data. More specifically, if we have a set of $N$ independent, identically distributed measurements of an $M$…

Consider using the right-preconditioned GMRES (AB-GMRES) for obtaining the minimum-norm solution of inconsistent underdetermined systems of linear equations. Morikuni (Ph.D. thesis, 2013) showed that for some inconsistent and…

We propose an algorithmic framework for convex minimization problems of a composite function with two terms: a self-concordant function and a possibly nonsmooth regularization term. Our method is a new proximal Newton algorithm that…

Convergence is a crucial issue in iterative algorithms. Damping is commonly employed to ensure the convergence of iterative algorithms. The conventional ways of damping are scalar-wise, and either heuristic or empirical. Recently, an…

Nonsingular estimation of high dimensional covariance matrices is an important step in many statistical procedures like classification, clustering, variable selection an future extraction. After a review of the essential background…

Decomposition techniques for linear programming are difficult to extend to conic optimization problems with general non-polyhedral convex cones because the conic inequalities introduce an additional nonlinear coupling between the variables.…

In this paper we present the Large Inverse Cholesky (LIC) method, an efficient method for computing the coefficient matrices of a Structural Vector Autoregressive (SVAR) model.

We consider problems of estimation of structured covariance matrices, and in particular of matrices with a Toeplitz structure. We follow a geometric viewpoint that is based on some suitable notion of distance. To this end, we overview and…

A finite element methodology for large classes of variational boundary value problems is defined which involves discretizing two linear operators: (1) the differential operator defining the spatial boundary value problem; and (2) a Riesz…

Riemann manifold Hamiltonian Monte Carlo (RMHMC) has the potential to produce high-quality Markov chain Monte Carlo-output even for very challenging target distributions. To this end, a symmetric positive definite scaling matrix for RMHMC,…

In this article, we explore Bayesian extensions of the tensor normal model through a geometric expansion of the multi-way covariance's Cholesky factor inspired by the Fr\'echet mean under the log-Cholesky metric. Specifically, within a…

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…