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stat.ME2021
Estimation When Both Covariance And Precision Matrices Are Sparse
Shev Macnamara, Erik Schlögl, Zdravko I. Botev
We offer a method to estimate a covariance matrix in the special case that \textit{both} the covariance matrix and the precision matrix are sparse --- a constraint we call double s…
stat.ML2021
Variance Reduction for Matrix Computations with Applications to Gaussian Processes
Anant Mathur, Sarat Moka, Zdravko Botev
In addition to recent developments in computing speed and memory, methodological advances have contributed to significant gains in the performance of stochastic simulation. In this…