TY  - BOOK
AU  - Pourahmadi,Mohsen
TI  - High-dimensional covariance estimation
T2  - Wiley series in probability and statistics
SN  - 9781118034293 (hardback)
U1  - 000SA.069 23
PY  - 2013///
CY  - New Jersey :   
PB  - John Wiley,  
KW  - Analysis of covariance
KW  - Multivariate analysis
KW  - MATHEMATICS / Probability & Statistics / Multivariate Analysis
N1  - Includes bibliographical references (pages 171-179) and index; 1. Introduction--
2. Data, sparsity, and regularization--
3. Covariance matrices--
4. Regularizing the eigenstructure--
5. Sparse gaussian graphical models--
6. Banding, tapering, and thresholding--
7. Multivariate regression: accounting for correlation--
Bibliography--
Index
N2  - "Focusing on methodology and computation more than on theorems and proofs, this book provides computationally feasible and statistically efficient methods for estimating sparse and large covariance matrices of high-dimensional data. Extensive in breadth and scope, it features ample applications to a number of applied areas, including business and economics, computer science, engineering, and financial mathematics; recognizes the important and significant contributions of longitudinal and spatial data; and includes various computer codes in R throughout the text and on an author-maintained web site"--; "The aim of this book is to provide computationally feasible and statistically efficient methods for estimating sparse and large covariance matrices of high-dimensional data"--
ER  -