Sparse permutation invariant covariance estimation
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Publication:1951760
DOI10.1214/08-EJS176zbMath1320.62135arXiv0801.4837MaRDI QIDQ1951760
Peter J. Bickel, Elizaveta Levina, Ji Zhu, Adam J. Rothman
Publication date: 24 May 2013
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0801.4837
covariance matrix; sparsity; Cholesky decomposition; Lasso; large \(p\) small \(n\); high dimension low sample size
62H12: Estimation in multivariate analysis
62H20: Measures of association (correlation, canonical correlation, etc.)
Uses Software