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Revision as of 21:33, 27 June 2024

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Sparse estimation of large covariance matrices via a nested Lasso penalty
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    Sparse estimation of large covariance matrices via a nested Lasso penalty (English)
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    30 April 2008
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    covariance matrix
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    high dimension low sample size
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    large p small n
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    lasso
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    sparsity
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    Cholesky decomposition
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