Data Mining

High-Dimensional Covariance Estimation: With - download pdf or read online

By Mohsen Pourahmadi

ISBN-10: 1118034295

ISBN-13: 9781118034293

Methods for estimating sparse and massive covariance matrices

Covariance and correlation matrices play primary roles in each element of the research of multivariate facts amassed from a number of fields together with company and economics, overall healthiness care, engineering, and environmental and actual sciences. High-Dimensional Covariance Estimation provides available and finished assurance of the classical and smooth methods for estimating covariance matrices in addition to their functions to the swiftly constructing components mendacity on the intersection of data and laptop learning.

Recently, the classical pattern covariance methodologies were changed and better upon to satisfy the wishes of statisticians and researchers facing huge correlated datasets. High-Dimensional Covariance Estimation specializes in the methodologies in response to shrinkage, thresholding, and penalized chance with purposes to Gaussian graphical types, prediction, and mean-variance portfolio administration. The ebook is based seriously on regression-based principles and interpretations to attach and unify many latest equipment and algorithms for the task.

High-Dimensional Covariance Estimation positive factors chapters on:

  • Data, Sparsity, and Regularization
  • Regularizing the Eigenstructure
  • Banding, Tapering, and Thresholding
  • Covariance Matrices
  • Sparse Gaussian Graphical Models
  • Multivariate Regression

The e-book is a perfect source for researchers in data, arithmetic, enterprise and economics, computing device sciences, and engineering, in addition to an invaluable textual content or complement for graduate-level classes in multivariate research, covariance estimation, statistical studying, and high-dimensional info analysis.

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High-Dimensional Covariance Estimation: With High-Dimensional Data (Wiley Series in Probability and Statistics) by Mohsen Pourahmadi

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