On the mean squared error of the ridge estimator of the covariance and precision matrix (Q511555): Difference between revisions
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| Property / DOI: 10.1016/j.spl.2016.12.002 / rank | |||
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| Property / cites work: Sparse inverse covariance estimation with the graphical lasso / rank | |||
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| Property / cites work: The Risk of James–Stein and Lasso Shrinkage / rank | |||
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| Property / cites work: Functions of Matrices / rank | |||
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| Property / cites work: All Invariant Moments of the Wishart Distribution / rank | |||
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| Property / cites work: Q4768493 / rank | |||
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| Property / cites work: Ridge estimation of inverse covariance matrices from high-dimensional data / rank | |||
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| Property / DOI: 10.1016/J.SPL.2016.12.002 / rank | |||
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Latest revision as of 20:00, 9 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the mean squared error of the ridge estimator of the covariance and precision matrix |
scientific article |
Statements
On the mean squared error of the ridge estimator of the covariance and precision matrix (English)
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21 February 2017
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inverse covariance matrix
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multivariate normal
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\(\ell_2\)-penalization
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