Sparse and low-rank covariance matrix estimation

DOI10.1007/s40305-014-0058-7zbMath1327.62428arXiv1407.4596OpenAlexW2963769637MaRDI QIDQ2516376

Lingchen Kong, Ziyan Luo, Nai-Hua Xiu, Sheng-Long Zhou

Publication date: 31 July 2015

Published in: Journal of the Operations Research Society of China (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.4596

zbMATH Keywords

covariance matrixalternating direction method of multipliersestimation ratesparse and low-rank estimator

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Applications of mathematical programming (90C90) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (2)

Gaussian Patch Mixture Model Guided Low-Rank Covariance Matrix Minimization for Image Denoising ⋮ Convex relaxation algorithm for a structured simultaneous low-rank and sparse recovery problem

Uses Software

• glasso

Cites Work

• Unnamed Item
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• Simultaneously Structured Models With Application to Sparse and Low-Rank Matrices
• Positive-Definite ℓ₁-Penalized Estimation of Large Covariance Matrices
• Generalized Thresholding of Large Covariance Matrices

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