Regularized estimation of large covariance matrices (Q2477058)
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scientific article; zbMATH DE number 5248848
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| English | Regularized estimation of large covariance matrices |
scientific article; zbMATH DE number 5248848 |
Statements
Regularized estimation of large covariance matrices (English)
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12 March 2008
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covariance matrix
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regularization
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banding
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Cholesky decomposition
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0.8656904697418213
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0.8529420495033264
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0.8519092202186584
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0.8462774753570557
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0.8410471081733704
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