Covariance regularization by thresholding
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Publication:1000302
DOI10.1214/08-AOS600zbMath1196.62062arXiv0901.3079MaRDI QIDQ1000302
Peter J. Bickel, Elizaveta Levina
Publication date: 6 February 2009
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0901.3079
regularization; thresholding; sparsity; covariance estimation; large \(p\) small \(n\); climate data; high dimension low sample size
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