Generalized Thresholding of Large Covariance Matrices
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Publication:5256116
DOI10.1198/JASA.2009.0101zbMath1388.62170OpenAlexW2057535756MaRDI QIDQ5256116
Publication date: 22 June 2015
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/jasa.2009.0101
Ridge regression; shrinkage estimators (Lasso) (62J07) Measures of association (correlation, canonical correlation, etc.) (62H20)
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