Principal component analysis (PCA) is a widespread technique for data analysis that relies on the covariance/correlation matrix of the analyzed data. However, to properly work with high-dimensional data sets, PCA poses severe mathematical constraints on the minimum number of different replicates, or samples, that must be included in the analysis. Generally, improper sampling is due to a small n...

This paper studies the sparsistency and rates of convergence for estimating sparse covariance and precision matrices based on penalized likelihood with nonconvex penalty functions. Here, sparsistency refers to the property that all parameters that are zero are actually estimated as zero with probability tending to one. Depending on the case of applications, sparsity priori may occur on the cova...

This paper studies the sparsistency and rates of convergence for estimating sparse covariance and precision matrices based on penalized likelihood with nonconvex penalty functions. Here, sparsistency refers to the property that all parameters that are zero are actually estimated as zero with probability tending to one. Depending on the case of applications, sparsity priori may occur on the cova...

Linear mixed-effects model has been widely used in longitudinal data analyses. In practice, the fitting algorithm can fail to converge due to boundary issues of the estimated random-effects covariance matrix G, i.e., being near-singular, non-positive definite, or both. Current available algorithms are not computationally optimal because the condition number of matrix G is unnecessarily increase...

In this paper, we study the empirical spectral distribution of Spearman's rank correlation matrices, under assumption that observations are independent and identically distributed random vectors features correlated. We show limiting is generalized Mar\u{c}enko-Pastur law with covariance matrix observation after standardized transformation. With these results, compare several classical covarianc...