most citedOn Block Cholesky Decomposition for Sparse Inverse Covariance Estimation

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stat.ME2023★ 2 cited

On Block Cholesky Decomposition for Sparse Inverse Covariance Estimation

Xiaoning Kang, Jiayi Lian, Xinwei Deng

The modified Cholesky decomposition is popular for inverse covariance estimation, but often needs pre-specification on the full information of variable ordering. In this work, we p…