Regularized estimation of large covariance matrices (Q2477058)

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Regularized estimation of large covariance matrices
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    title
    Regularized estimation of large covariance matrices (English)
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    author
    Elizaveta Levina
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    publication date
    12 March 2008
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    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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    zbMATH Keywords
    covariance matrix
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    regularization
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    banding
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    Cholesky decomposition
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    Wikidata QID
    Q107314656
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