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stat.ME2024
A Structured Estimator for large Covariance Matrices in the Presence of Pairwise and Spatial Covariates
Martin Metodiev, Marie Perrot-Dockès, Sarah Ouadah +4
We consider the problem of estimating a high-dimensional covariance matrix from a small number of observations when covariates on pairs of variables are available and the variables…
stat.ME2020
Variable selection in sparse GLARMA models
M. Gomtsyan, C. Lévy-Leduc, S. Ouadah +1
In this paper, we propose a novel and efficient two-stage variable selection approach for sparse GLARMA models, which are pervasive for modeling discrete-valued time series. Our ap…