Estimation and optimal structure selection of high-dimensional Toeplitz covariance matrix
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DOI: 10.1016/j.jmva.2021.104739
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- Wang, Xuanci & Zhang, Bin, 2024. "Target selection in shrinkage estimation of covariance matrix: A structural similarity approach," Statistics & Probability Letters, Elsevier, vol. 208(C).
- Saulius Jokubaitis & Remigijus Leipus, 2022. "Asymptotic Normality in Linear Regression with Approximately Sparse Structure," Mathematics, MDPI, vol. 10(10), pages 1-28, May.
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Keywords
Covariance matrix; Entropy loss; High-dimension; Nonconvex penalty; Toeplitz covariance structure;All these keywords.
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