Abstract:Estimating a covariance matrix is central to high-dimensional data analysis. The proposed method is motivated by the dependence pattern analyses of multiple types of highdimensional biomedical data including but not limited to genomics, proteomics, microbiome, and neuroimaging data. The correlation matrices of these biomedical data all demonstrate a well-organized block pattern. In this pattern, the positive and negative pairwise correlations with large absolute values, are mainly concentrated within diagonal … Show more
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