High-Dimensional Covariance Estimation (Innbundet)

With High-Dimensional Data

Serie: Wiley Series in Probability and Statistics 


Innbinding: Innbundet
Utgivelsesår: 2013
Antall sider: 208
Forlag: John Wiley & Sons Inc
Språk: Engelsk
ISBN/EAN: 9781118034293
Omtale 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 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 RegularizationRegularizing the EigenstructureBanding, Tapering, and ThresholdingCovariance MatricesSparse Gaussian Graphical ModelsMultivariate 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.

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