Partial Correlation Screening for Estimating Large Precision Matrices, with Applications to Classification

Shiqiong Huang, Jiashun Jin, Zhigang Yao

We propose Partial Correlation Screening (PCS) as a new row-by-row approach to estimating a large precision matrix $\Omega$. To estimate the $i$-th row of $\Omega$, $1\le i\le p$, PCS us…