output
19992026
most citedSparsistency and rates of convergence in large covariance matrix estimation

421 citations

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Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

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Showing 2007 · math.STShow all

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math.ST2007★ 421 cited

Sparsistency and rates of convergence in large covariance matrix estimation

Clifford Lam, Jianqing Fan

This paper studies the sparsistency and rates of convergence for estimating sparse covariance and precision matrices based on penalized likelihood with nonconvex penalty functions.…

math.ST2007★ 65 cited

Exploring spatial nonlinearity using additive approximation

Zudi Lu, Arvid Lundervold, Dag Tjøstheim +1

We propose to approximate the conditional expectation of a spatial random variable given its nearest-neighbour observations by an additive function. The setting is meaningful in pr…