Lassoing eigenvalues (Q5113018)

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scientific article; zbMATH DE number 7210405
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English
Lassoing eigenvalues
scientific article; zbMATH DE number 7210405

    Statements

    title
    Lassoing eigenvalues (English)
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    author
    David E. Tyler
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    Mengxi Yi
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    published in
    Biometrika
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    publication date
    9 June 2020
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    zbMATH Keywords
    cross-validation
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    Marchenko-Pastur distribution
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    penalization
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    principal component
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    spiked covariance matrix
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    Identifiers

    DOI
    10.1093/biomet/asz076
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    Mathematics Subject Classification ID
    62J07
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    62H25
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    62H12
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    15A18
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    zbMATH DE Number
    7210405
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    OpenAlex ID
    W2804234031
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    arXiv ID
    1805.08300
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