Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle ...

A Bayesian method is proposed for estimating an inverse covariance matrix from Gaussian data. The method is based on a prior that allows the off-diagonal elements of the inverse covariance matrix to ...

In a general normal regression model, this paper first derives the least upper bound (LUB) for the covariance matrix of a generalized least squares estimator (GLSE) relative to the covariance matrix ...

Graphical models provide a robust framework for representing the conditional independence structure between variables through networks, enabling nuanced insight into complex high-dimensional data.