# Questions tagged [precision-matrix]

Use the precision-matrix tag when the analysis or discussion relates to the inverse of a covariance matrix.

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### How to determine lambda for graphical lasso?

I am trying to figure out how to determine lambda for a graphical lasso. I have found that someone had the exact same question that me 9 years ago. I was wondering if anything exists in R to determine ...
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### Precision matrix and conditional uncorrelatedness

Let $\mathbf{u}_t = (u_{1t},u_{2t},\ldots,u_{pt})^{\prime}$ be a $p \times 1$ (stationary) random vector, and let $\mathbf{\Sigma}_{u}$ be the covariance matrix of $\mathbf{u}_t$. Further, denote the ...
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### Asymptotics of the Sample Inverse Covariance Matrix

This paper provides the asymptotic normal distribution of the sample covariance matrix $\hat\Sigma$ under some fairly general conditions. Are there any resources which discuss similar results for the ...
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### Creating a random sparse precision matrix?

In my current project, I want to create a random sparse precision matrix $\boldsymbol{P}=\boldsymbol{\Sigma}^{-1}$ (the inverse of a covariance matrix $\boldsymbol{\Sigma}$). My current procedure ...
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