A well-conditioned and sparse estimation of covariance and inverse covariance matrices using a joint penalty (Q2834445)
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scientific article; zbMATH DE number 6655046
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| English | A well-conditioned and sparse estimation of covariance and inverse covariance matrices using a joint penalty |
scientific article; zbMATH DE number 6655046 |
Statements
22 November 2016
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sparsity
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eigenvalue penalty
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penalized estimation
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math.ST
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stat.TH
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A well-conditioned and sparse estimation of covariance and inverse covariance matrices using a joint penalty (English)
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0.8320538997650146
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0.8228012323379517
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0.8196592330932617
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0.8128513693809509
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0.8108334541320801
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