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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 ...

The estimated covariance matrix of the parameter estimates is computed as the inverse Hessian matrix, and for unconstrained problems it should be positive definite. If the final parameter estimates ...

To extract information from high-dimensional data efficiently, visualization tools based on data projection methods have been developed and shown useful. However, a single two-dimensional ...

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 ...