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math.ST2021
Post-Processed Posteriors for Sparse Covariances and Its Application to Global Minimum Variance Portfolio
Kwangmin Lee, Jaeyong Lee
We consider Bayesian inference of sparse covariance matrices and propose a post-processed posterior. This method consists of two steps. In the first step, posterior samples are obt…
math.ST2021
Estimation of Conditional Mean Operator under the Bandable Covariance Structure
Kwangmin Lee, Kyoungjae Lee, Jaeyong Lee
We consider high-dimensional multivariate linear regression models, where the joint distribution of covariates and response variables is a multivariate normal distribution with a b…
math.ST2020★ 1 cited
Post-Processed Posteriors for Banded Covariances
Kwangmin Lee, Kyoungjae Lee, Jaeyong Lee
We consider Bayesian inference of banded covariance matrices and propose a post-processed posterior. The post-processing of the posterior consists of two steps. In the first step,…