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Large Precision Matrix Estimation for Time Series Data with Latent Factor Model
Clifford Lam
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Oznake: computer science;data mining;time series analysis
Estimating a large precision (inverse covariance) matrix is difficult due to the curse of dimensionality. The sample covariance matrix is notoriously bad for estimating the covariance matrix when the dimension p of the multivariate vector is comparable or even larger than the number of time points ...
Leto: 2009 Vir: videolectures.net
Št. zadetkov: 1
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