Covariance estimation via fiducial inference

• Published in: Statistical theory and related fields Vol. 5; no. 4; pp. 316 - 331
• Main Authors: Jenny Shi, W., Hannig, Jan, Lai, Randy C. S., Lee, Thomas C. M.
• Format: Journal Article
• Language: English
• Published: Taylor & Francis 02.10.2021; Taylor & Francis Group
• Subjects: cliques; covariance estimation; fiducial inference; Primary 62J10; Secondary 62F12; sparsity

As a classical problem, covariance estimation has drawn much attention from the statistical community for decades. Much work has been done under the frequentist and Bayesian frameworks. Aiming to quantify the uncertainty of the estimators without having to choose a prior, we have developed a fiducia...