Sparse permutation invariant covariance estimation (Q1951760)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sparse permutation invariant covariance estimation |
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Sparse permutation invariant covariance estimation (English)
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24 May 2013
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covariance matrix
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high dimension low sample size
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large \(p\) small \(n\)
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Lasso
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sparsity
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Cholesky decomposition
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