Sparse estimation of large covariance matrices via a nested Lasso penalty (Q2482977): Difference between revisions
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Latest revision as of 10:31, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sparse estimation of large covariance matrices via a nested Lasso penalty |
scientific article |
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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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