High dimensional covariance matrix estimation by penalizing the matrix-logarithm transformed likelihood
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Publication:1658345
DOI10.1016/j.csda.2017.04.004zbMath1464.62193OpenAlexW2610862920MaRDI QIDQ1658345
Philip L. H. Yu, Xiaohang Wang, Yuan-Yuan Zhu
Publication date: 14 August 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2017.04.004
Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12)
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