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

Jasper Engel; Lutgarde Buydens; Lionel Blanchet

doi:10.1002/cem.2880

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

NUTRIM - Respiratory & Age-related Health

Research output: Contribution to journal › Article › Academic › peer-review

Original language	English
Article number	e2880
Number of pages	19
Journal	Journal of Chemometrics
Volume	31
Issue number	4
DOIs	https://doi.org/10.1002/cem.2880
Publication status	Published - 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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10.1002/cem.2880

Cite this

Engel, J., Buydens, L., & Blanchet, L. (2017). An overview of large-dimensional covariance and precision matrix estimators with applications in chemometrics. Journal of Chemometrics, 31(4), [e2880]. https://doi.org/10.1002/cem.2880

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title = "An overview of large-dimensional covariance and precision matrix estimators with applications in chemometrics",

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",

author = "Jasper Engel and Lutgarde Buydens and Lionel Blanchet",

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AU - Engel, Jasper

AU - Buydens, Lutgarde

AU - Blanchet, Lionel

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KW - eigenvalue shrinkage

KW - metabolomics

KW - ridge-type estimation

KW - sparse covariance matrix

KW - sparse precision matrix

KW - TOTAL CORRELATION SPECTROSCOPY

KW - PENALIZED NORMAL LIKELIHOOD

KW - NUCLEAR-MAGNETIC-RESONANCE

KW - GAUSSIAN GRAPHICAL MODELS

KW - SHRINKAGE ESTIMATION

KW - METABOLOMICS DATA

KW - SPARSE ESTIMATION

KW - LASSO

KW - SELECTION

KW - INVERSE

U2 - 10.1002/cem.2880

DO - 10.1002/cem.2880

M3 - Article

VL - 31

JO - Journal of Chemometrics

JF - Journal of Chemometrics

SN - 0886-9383

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