Whitening, or sphering, is a common preprocessing step in statistical analysis to transform random variables to orthogonality. However, due to rotational freedom there are infinitely many possible ...

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle ...

Graphical models provide a robust framework for representing the conditional independence structure between variables through networks, enabling nuanced insight into complex high-dimensional data.

Graphical Gaussian models with edge and vertex symmetries were introduced by Højsgaard & Lauritzen (2008), who gave an algorithm for computing the maximum likelihood estimate of the precision matrix ...