Tuning-parameter selection in regularized estimations of large covariance matrices (Q5222349)
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scientific article; zbMATH DE number 7184623
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| English | Tuning-parameter selection in regularized estimations of large covariance matrices |
scientific article; zbMATH DE number 7184623 |
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Tuning-parameter selection in regularized estimations of large covariance matrices (English)
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1 April 2020
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banding
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bootstrap
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covariance matrix
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cross-validation
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Frobenius norm
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operator norm
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thresholding
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0.7954946160316467
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0.7842411398887634
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0.7666465044021606
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0.7487815618515015
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0.7482461929321289
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