Penalized Normal Likelihood and Ridge Regularization of Correlation and Covariance Matrices

DOI10.1198/016214508000000021zbMath1471.62362OpenAlexW2095243891WikidataQ57239192 ScholiaQ57239192MaRDI QIDQ3632643

Publication date: 12 June 2009

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/016214508000000021

zbMATH Keywords

cross-validation generalized inverse multivariate analysis high-dimensional data multivariate regression

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to biology and medical sciences; meta analysis (62P10) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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