Positive-definite \(\ell_1\)-penalized estimation of large covariance matrices (Q4904725)
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scientific article; zbMATH DE number 6133096
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| English | Positive-definite \(\ell_1\)-penalized estimation of large covariance matrices |
scientific article; zbMATH DE number 6133096 |
Statements
Positive-Definite ℓ<sub>1</sub>-Penalized Estimation of Large Covariance Matrices (English)
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31 January 2013
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alternating direction methods
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matrix norm
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positive-definite estimation
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soft-thresholding
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sparsity
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0.8775967955589294
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0.8340777158737183
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0.8195556402206421
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0.8157604336738586
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0.8092038631439209
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