Positive-Definite ℓ<sub>1</sub>-Penalized Estimation of Large Covariance Matrices (Q4904725)

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scientific article; zbMATH DE number 6133096
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Positive-Definite ℓ<sub>1</sub>-Penalized Estimation of Large Covariance Matrices
scientific article; zbMATH DE number 6133096

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    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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