Sparse estimation of large covariance matrices via a nested Lasso penalty (Q2482977)
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scientific article; zbMATH DE number 5270346
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| English | Sparse estimation of large covariance matrices via a nested Lasso penalty |
scientific article; zbMATH DE number 5270346 |
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Sparse estimation of large covariance matrices via a nested Lasso penalty (English)
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30 April 2008
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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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0.8360539674758911
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0.8253017067909241
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0.820708155632019
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0.8178503513336182
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