Estimation of covariance matrix via the sparse Cholesky factor with lasso (Q993832)
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scientific article; zbMATH DE number 5788991
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| English | Estimation of covariance matrix via the sparse Cholesky factor with lasso |
scientific article; zbMATH DE number 5788991 |
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Estimation of covariance matrix via the sparse Cholesky factor with lasso (English)
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20 September 2010
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adding and removing variables
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equi-angular covariance estimate
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dynamic weighted lasso
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\(L_{1}\) penalty
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updating
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modified Cholesky decomposition
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0.9359703
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0.92658055
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0.9165634
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0.9155495
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0.90650904
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0.9016139
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0.9004744
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0.8996383
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0.8978951
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0.89724845
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