Document Type

Journal Article

Department/Unit

Department of Mathematics

Title

Estimation of variances and covariances for high-dimensional data: A selective review

Language

English

Abstract

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.

Keywords

Covariance matrix, High-dimensional data, Microarray data, Precision matrix, Shrinkage estimation, Sparse covariance matrix

Publication Date

2014

Source Publication Title

Wiley Interdisciplinary Reviews: Computational Statistics

Volume

6

Issue

4

Start Page

255

End Page

264

Publisher

Wiley

DOI

10.1002/wics.1308

Link to Publisher's Edition

http://dx.doi.org/10.1002/wics.1308

ISSN (print)

19395108

ISSN (electronic)

19390068

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