16 citations · 45 across the 10 of their papers we have counts for
3 papers · 1 filter
Adaptive Covariance Estimation with model selection
Rolando Biscay, Hélène Lescornel, Jean-Michel Loubes
We provide in this paper a fully adaptive penalized procedure to select a covariance among a collection of models observing i.i.d replications of the process at fixed observation p…
Group Lasso estimation of high-dimensional covariance matrices
Jérémie Bigot, Rolando Biscay, Jean-Michel Loubes +1
In this paper, we consider the Group Lasso estimator of the covariance matrix of a stochastic process corrupted by an additive noise. We propose to estimate the covariance matrix i…
Nonparametric estimation of covariance functions by model selection
Jérémie Bigot, Rolando Biscay, Jean-Michel Loubes +1
We propose a model selection approach for covariance estimation of a multi-dimensional stochastic process. Under very general assumptions, observing i.i.d replications of the proce…