Regularized estimation of large covariance matrices (Q2477058)

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Regularized estimation of large covariance matrices
scientific article

    Statements

    title
    Regularized estimation of large covariance matrices (English)
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    author
    Elizaveta Levina
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    Peter J. Bickel
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    publication date
    12 March 2008
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    zbMATH Keywords
    covariance matrix
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    regularization
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    banding
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    Cholesky decomposition
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    cites work
    Q3255781
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    Q4407624
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    Q3093367
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    Q4863700
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    Q4273944
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    Q4328414
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    Q3359644
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    Q3752135
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    Q5624460
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    Q3185327
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    Q5526485
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    Q4002143
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    Q3254471
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    Identifiers

    Mathematics Subject Classification ID
    62H12
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    62F12
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    15A18
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    62F40
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    zbMATH DE Number
    5248848
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    Wikidata QID
    Q107314656
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    OpenAlex ID
    W3101788651
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    arXiv ID
    0803.1909
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