Sparse estimation of a covariance matrix
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Publication:123825
DOI10.1093/biomet/asr054zbMath1228.62063OpenAlexW1995436190WikidataQ36145008 ScholiaQ36145008MaRDI QIDQ123825
R. J. Tibshirani, J. Bien, Robert Tibshirani, Jacob Bien
Publication date: 24 November 2011
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: http://europepmc.org/articles/pmc3413177
regularizationsparsitymajorization-minimizationlassoconcave-convex procedurecovariance graphgeneralized gradient descent
Estimation in multivariate analysis (62H12) Applications of statistics to biology and medical sciences; meta analysis (62P10) Applications of mathematical programming (90C90)
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