Lassoing eigenvalues

DOI10.1093/BIOMET/ASZ076zbMath1441.62189arXiv1805.08300OpenAlexW2804234031WikidataQ126662853 ScholiaQ126662853MaRDI QIDQ5113018

Mengxi Yi, David E. Tyler

Publication date: 9 June 2020

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1805.08300

zbMATH Keywords

penalizationcross-validationspiked covariance matrixMarchenko-Pastur distributionprincipal component

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Eigenvalues, singular values, and eigenvectors (15A18)

Related Items (1)

Shrinking the Covariance Matrix Using Convex Penalties on the Matrix-Log Transformation

This page was built for publication: Lassoing eigenvalues