Tuning-parameter selection in regularized estimations of large covariance matrices (Q5222349): Difference between revisions

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+On the distribution of the largest eigenvalue in principal components analysis
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+Covariance regularization by thresholding
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+Operator norm consistent estimation of large-dimensional sparse covariance matrices
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+Generalized Thresholding of Large Covariance Matrices
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+Regularized estimation of large covariance matrices
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+Optimal rates of convergence for covariance matrix estimation
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+Covariance matrix selection and estimation via penalised  normal likelihood
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+Sparsistency and rates of convergence in large covariance matrix estimation
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+A new approach to Cholesky-based covariance regularization in high dimensions
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+High dimensional covariance matrix estimation using a factor model
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+Large Covariance Estimation by Thresholding Principal Orthogonal Complements
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+SURE Information Criteria for Large Covariance Matrix Estimation and Their Asymptotic Properties
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+Linear Model Selection by Cross-Validation
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+SURE-tuned tapering estimation of large covariance matrices
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+Positive-Definite ℓ<sub>1</sub>-Penalized Estimation of Large Covariance Matrices
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