Sparse estimation of large covariance matrices via a nested Lasso penalty (Q2482977)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sparse estimation of large covariance matrices via a nested Lasso penalty |
scientific article |
Statements
Sparse estimation of large covariance matrices via a nested Lasso penalty (English)
0 references
30 April 2008
0 references
covariance matrix
0 references
high dimension low sample size
0 references
large p small n
0 references
lasso
0 references
sparsity
0 references
Cholesky decomposition
0 references
0 references
0 references
