Sparse estimation of large covariance matrices via a nested Lasso penalty

DOI10.1214/07-AOAS139zbMath1137.62338arXiv0803.3872OpenAlexW3103917751MaRDI QIDQ2482977

Adam J. Rothman, Elizaveta Levina, Ji Zhu

Publication date: 30 April 2008

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0803.3872

zbMATH Keywords

covariance matrixsparsityCholesky decompositionlassolarge p small nhigh dimension low sample size

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Parametric inference under constraints (62F30) Theory of matrix inversion and generalized inverses (15A09)

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Uses Software

• rda

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