Covariance regularization by thresholding

DOI10.1214/08-AOS600zbMath1196.62062arXiv0901.3079OpenAlexW3099609308MaRDI QIDQ1000302

Elizaveta Levina, Peter J. Bickel

Publication date: 6 February 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0901.3079

zbMATH Keywords

regularizationthresholdingsparsitycovariance estimationlarge \(p\) small \(n\)climate datahigh dimension low sample size

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Applications of statistics to environmental and related topics (62P12) Bootstrap, jackknife and other resampling methods (62F40)

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Uses Software

• DSPCA
• glasso
• EBayesThresh

Cites Work

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