Department of Mathematics
Estimation of variances and covariances for high-dimensional data: A selective review
Estimation of variances and covariances is required for many statistical methods such as t-test, principal component analysis and linear discriminant analysis. High-dimensional data such as gene expression microarray data and financial data pose challenges to traditional statistical and computational methods. In this paper, we review some recent developments in the estimation of variances, covariance matrix, and precision matrix, with emphasis on the applications to microarray data analysis. © 2014 Wiley Periodicals, Inc.
Covariance matrix, High-dimensional data, Microarray data, Precision matrix, Shrinkage estimation, Sparse covariance matrix
Source Publication Title
Wiley Interdisciplinary Reviews: Computational Statistics
Link to Publisher's Edition
Tong, Tiejun, Cheng Wang, and Yuedong Wang. "Estimation of variances and covariances for high-dimensional data: A selective review." Wiley Interdisciplinary Reviews: Computational Statistics 6.4 (2014): 255-264.