Regularized estimation of large covariance matrices (Q2477058): Difference between revisions

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+.1909
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+First-Order Methods for Sparse Covariance Selection
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+Limit of the smallest eigenvalue of a large dimensional sample covariance matrix
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+Q4407624
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+Some theory for Fisher's linear discriminant function, `naive Bayes', and some alternatives when there are many more variables than observations
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@@ Property / cites work: Q4328414 / rank @@
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+High dimensional covariance matrix estimation using a factor model
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+Automatic Local Smoothing for Spectral Density Estimation
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+Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants
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+A limit theorem for the norm of random matrices
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+Ridge Regression: Biased Estimation for Nonorthogonal Problems
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+Covariance matrix selection and estimation via penalised  normal likelihood
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+On the distribution of the largest eigenvalue in principal components analysis
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+Q5526485
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+A well-conditioned estimator for large-dimensional covariance matrices
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+DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
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+High-dimensional graphs and variable selection with the Lasso
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+Perturbation des transformations autoadjointes dans l'espace de Hilbert
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+The strong limits of random matrix spectra for sample matrices of independent elements
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+Nonparametric estimation of large covariance matrices of longitudinal data
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