High-Dimensional Covariance Estimation by Mohsen Pourahmadi - 9781118034293

High-Dimensional Covariance EstimationWith High-Dimensional Data\nAuthor(s): Mohsen Pourahmadi\nFormat: Hardback\nPublisher: John Wiley & Sons Inc, United States\nImprint: John Wiley & Sons Inc\nISBN-13: 9781118034293, 978-1118034293\nSynopsis\nMethods for estimating sparse and large covariance matrices Covariance and correlation matrices play fundamental roles in every aspect of the analysis of multivariate data collected from a variety of fields including business and economics, health care, engineering, and environmental and physical sciences. High-Dimensional Covariance Estimation provides accessible and comprehensive coverage of the classical and modern approaches for estimating covariance matrices as well as their applications to the rapidly developing areas lying at the intersection of statistics and machine learning. Recently, the classical sample covariance methodologies have been modified and improved upon to meet the needs of statisticians and researchers dealing.