Covariance regularization by thresholding (Q1000302): Difference between revisions

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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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+Regularized estimation of large covariance matrices
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+First-Order Methods for Sparse Covariance Selection
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+Operator norm consistent estimation of large-dimensional sparse covariance matrices
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+Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
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+Empirical Bayes estimation of the multivariate normal covariance matrix
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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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+Model selection and estimation in the Gaussian graphical model
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