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math.ST2019
Estimating covariance and precision matrices along subspaces
Zeljko Kereta, Timo Klock
We study the accuracy of estimating the covariance and the precision matrix of a -variate sub-Gaussian distribution along a prescribed subspace or direction using the finite sam…
math.ST2019
Nonlinear generalization of the monotone single index model
Zeljko Kereta, Timo Klock, Valeriya Naumova
Single index model is a powerful yet simple model, widely used in statistics, machine learning, and other scientific fields. It models the regression function as , where…