Estimation of covariance matrix via the sparse Cholesky factor with lasso (Q993832)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of covariance matrix via the sparse Cholesky factor with lasso |
scientific article |
Statements
Estimation of covariance matrix via the sparse Cholesky factor with lasso (English)
0 references
20 September 2010
0 references
adding and removing variables
0 references
equi-angular covariance estimate
0 references
dynamic weighted lasso
0 references
\(L_{1}\) penalty
0 references
updating
0 references
modified Cholesky decomposition
0 references
0 references
