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Estimation of Large Covariance and Precision Matrices from Temporally Dependent Observations (AOS-19 paper)
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covariance_matrix
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README.md

README.md

SpatialCOVforTimeSeries

This repository stores the computer codes for the simulations of the following paper:

Shu, H., and Nan, B. (2019) Estimation of Large Covariance and Precision Matrices from Temporally Dependent Observations. The Annals of Statistics, 47(3): 1321-1350.

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