Estimating high-dimensional covariance and precision matrices under general missing dependence
Estimating high-dimensional covariance and precision matrices under general missing dependence
A sample covariance matrix S of completely observed data is the key statistic in a large variety of multivariate statistical procedures, such as structured covariance/precision matrix estimation, principal component analysis, and testing of equality of mean vectors. However, when the data are partially observed, the sample covariance matrix from the …