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基于Tlasso的大维协方差矩阵估计及其应用
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作者 袁欣 俞卫琴 《统计与决策》 CSSCI 北大核心 2021年第6期60-63,共4页
金融数据的大维度性、高度正相关性及非正态性给投资组合中协方差矩阵的估计带来了巨大挑布,并借助l1惩罚项来获得大维逆协方差矩阵的稀疏估计。实证结果表明,相对于等权重模型、样本协方差模型及Glasso模型,Tlasso模型能显著提高大维... 金融数据的大维度性、高度正相关性及非正态性给投资组合中协方差矩阵的估计带来了巨大挑布,并借助l1惩罚项来获得大维逆协方差矩阵的稀疏估计。实证结果表明,相对于等权重模型、样本协方差模型及Glasso模型,Tlasso模型能显著提高大维协方差矩阵的估计效率,并选出最佳的投资组合。 展开更多
关键词 大维协方差矩阵 graphical lasso Tlasso 投资组合
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Neurocognitive Graphs of First-Episode Schizophrenia and Major Depression Based on Cognitive Features 被引量:6
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作者 Sugai Liang Roberto Vega +8 位作者 Xiangzhen Kong Wei Deng Qiang Wang Xiaohong Ma Mingli Li Xun Hu Andrew J.Greenshaw Russell Greiner Tao Li 《Neuroscience Bulletin》 SCIE CAS CSCD 2018年第2期312-320,共9页
Neurocognitive deficits are frequently observed in patients with schizophrenia and major depressive disorder(MDD). The relations between cognitive features may be represented by neurocognitive graphs based on cognitiv... Neurocognitive deficits are frequently observed in patients with schizophrenia and major depressive disorder(MDD). The relations between cognitive features may be represented by neurocognitive graphs based on cognitive features, modeled as Gaussian Markov random fields. However, it is unclear whether it is possible to differentiate between phenotypic patterns associated with the differential diagnosis of schizophrenia and depression using this neurocognitive graph approach. In this study, we enrolled 215 first-episode patients with schizophrenia(FES), 125 with MDD, and 237 demographically-matched healthy controls(HCs). The cognitive performance of all participants was evaluated using a battery of neurocognitive tests. The graphical LASSO model was trained with aone-vs-one scenario to learn the conditional independent structure of neurocognitive features of each group. Participants in the holdout dataset were classified into different groups with the highest likelihood. A partial correlation matrix was transformed from the graphical model to further explore the neurocognitive graph for each group. The classification approach identified the diagnostic class for individuals with an average accuracy of 73.41% for FES vs HC, 67.07% for MDD vs HC, and 59.48% for FES vs MDD. Both of the neurocognitive graphs for FES and MDD had more connections and higher node centrality than those for HC. The neurocognitive graph for FES was less sparse and had more connections than that for MDD.Thus, neurocognitive graphs based on cognitive features are promising for describing endophenotypes that may discriminate schizophrenia from depression. 展开更多
关键词 SCHIZOPHRENIA Major depressive disorder NEUROCOGNITION Neurocognitive graph graphical lasso
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