An overview of large-dimensional covariance and precision matrix estimators with applications in chemometrics

Jasper Engel*, Lutgarde Buydens, Lionel Blanchet

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

Original languageEnglish
Article numbere2880
Number of pages19
JournalJournal of Chemometrics
Volume31
Issue number4
DOIs
Publication statusPublished - Apr 2017

Keywords

  • eigenvalue shrinkage
  • metabolomics
  • ridge-type estimation
  • sparse covariance matrix
  • sparse precision matrix
  • TOTAL CORRELATION SPECTROSCOPY
  • PENALIZED NORMAL LIKELIHOOD
  • NUCLEAR-MAGNETIC-RESONANCE
  • GAUSSIAN GRAPHICAL MODELS
  • SHRINKAGE ESTIMATION
  • METABOLOMICS DATA
  • SPARSE ESTIMATION
  • LASSO
  • SELECTION
  • INVERSE

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