Estimation and optimal structure selection of high-dimensional Toeplitz covariance matrix
Yihe Yang, Jie Zhou, Jianxin Pan
Topics & Concepts
Toeplitz matrixMathematicsEstimation of covariance matricesRational quadratic covariance functionCovariance functionCovarianceCovariance matrixMatérn covariance functionEstimatorLaw of total covarianceCovariance intersectionCMA-ESApplied mathematicsCovariance mappingStatisticsMathematical optimizationPure mathematicsStatistical Methods and InferenceAdvanced Statistical Methods and ModelsStatistical Methods and Bayesian Inference