High-Dimensional Covariance Estimation: With High-Dimensional Data

Methods 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 applicatio...