Graph-Guided Banding of the Covariance Matrix
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Publication:5231506
DOI10.1080/01621459.2018.1442720zbMath1420.62239arXiv1606.00451MaRDI QIDQ5231506
Publication date: 27 August 2019
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1606.00451
62H99: Multivariate analysis
62H12: Estimation in multivariate analysis
62J07: Ridge regression; shrinkage estimators (Lasso)
62G05: Nonparametric estimation
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