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Matthias Katzfuss

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Preprint Aug 2026

Tensor Covariance Estimation via Kronecker-Structured Sparse Inverse Cholesky

A unified framework for scalable estimation of tensor covariances based on a Kronecker-structured sparse inverse Cholesky (KSIC) projection, proving that the KSIC estimator gainfully exploits cross-mode information and is robust to data scarcity.

Wentao Zhan, Matthias Katzfuss · 0 citations

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