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Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle ...

This paper considers estimation of sparse covariance matrices and establishes the optimal rate of convergence under a range of matrix operator norm and Bregman divergence losses. A major focus is on ...

The probability (Q) that the estimated between-group covariance matrix is not positive definite is computed for the balanced single classification multivariate analysis of variance with random effects ...

Graphical models provide a robust framework for representing the conditional independence structure between variables through networks, enabling nuanced insight into complex high-dimensional data.