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Computationally efficient banding of large covariance matrices for ordered data and connections to banding the inverse Cholesky factor
In this article, we propose a computationally efficient approach to estimate (large) p-dimensional covariance matrices of ordered (or longitudinal) data based on an independent sample of size n. To do this, we construct the estimator based on a k-band partial autocorrelation matrix with the number o...
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| Main Authors: | , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
2014
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC4136395/ https://ncbi.nlm.nih.gov/pubmed/25147413 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1016/j.jmva.2014.04.026 |
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