Regularized parameter estimation of high dimensional distribution

DOI10.1016/j.jspi.2008.10.014zbMath1160.62053MaRDI QIDQ1015875

Ming Yuan, Jianhua Z. Huang

Publication date: 30 April 2009

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2008.10.014

zbMATH Keywords

EM algorithm; empirical Bayes; penalized likelihood; multivariate \(t\) distribution

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62C12: Empirical decision procedures; empirical Bayes procedures

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