Fused-Lasso Regularized Cholesky Factors of Large Nonstationary Covariance Matrices of Longitudinal Data

22 Jul 2020Aramayis DallakyanMohsen Pourahmadi

Smoothness of the subdiagonals of the Cholesky factor of large covariance matrices is closely related to the degrees of nonstationarity of autoregressive models for time series and longitudinal data. Heuristically, one expects for a nearly stationary covariance matrix the entries in each subdiagonal of the Cholesky factor of its inverse to be nearly the same in the sense that sum of absolute values of successive terms is small... (read more)

PDF Abstract


No code implementations yet. Submit your code now

Results from the Paper

  Submit results from this paper to get state-of-the-art GitHub badges and help the community compare results to other papers.

Methods used in the Paper

🤖 No Methods Found Help the community by adding them if they're not listed; e.g. Deep Residual Learning for Image Recognition uses ResNet