62 citations · 153 across the 19 of their papers we have counts for
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math.ST2017
Estimating Large Precision Matrices via Modified Cholesky Decomposition
Kyoungjae Lee, Jaeyong Lee
We introduce the -banded Cholesky prior for estimating a high-dimensional bandable precision matrix via the modified Cholesky decomposition. The bandable assumption is imposed o…
math.ST2017
Optimal Bayesian Minimax Rates for Unconstrained Large Covariance Matrices
Kyoungjae Lee, Jaeyong Lee
We obtain the optimal Bayesian minimax rate for the unconstrained large covariance matrix of multivariate normal sample with mean zero, when both the sample size, n, and the dimens…