A new approach to Cholesky-based covariance regularization in high dimensions (Q2786367)
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scientific article; zbMATH DE number 5789953
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| English | A new approach to Cholesky-based covariance regularization in high dimensions |
scientific article; zbMATH DE number 5789953 |
Statements
A new approach to Cholesky-based covariance regularization in high dimensions (English)
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22 September 2010
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Cholesky decomposition
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high-dimensional data
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large \(p\) small \(n\)
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lasso
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sparsity
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0.8397069573402405
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0.8215337991714478
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0.8097110390663147
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0.8089770674705505
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0.8013964295387268
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