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- W4287025114 abstract "We offer a method to estimate a covariance matrix in the special case that textit{both} the covariance matrix and the precision matrix are sparse --- a constraint we call double sparsity. The estimation method is maximum likelihood, subject to the double sparsity constraint. In our method, only a particular class of sparsity pattern is allowed: both the matrix and its inverse must be subordinate to the same chordal graph. Compared to a naive enforcement of double sparsity, our chordal graph approach exploits a special algebraic local inverse formula. This local inverse property makes computations that would usually involve an inverse (of either precision matrix or covariance matrix) much faster. In the context of estimation of covariance matrices, our proposal appears to be the first to find such special pairs of covariance and precision matrices." @default.
- W4287025114 created "2022-07-25" @default.
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- W4287025114 date "2021-08-14" @default.
- W4287025114 modified "2023-10-17" @default.
- W4287025114 title "Estimation When Both Covariance And Precision Matrices Are Sparse" @default.
- W4287025114 doi "https://doi.org/10.48550/arxiv.2108.06638" @default.
- W4287025114 hasPublicationYear "2021" @default.
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