Estimation of a sparse and spiked covariance matrix

DOI10.1080/10485252.2015.1022545zbMath1320.62123OpenAlexW2058842984MaRDI QIDQ5256289

Zengyan Fan, Heng Lian

Publication date: 22 June 2015

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485252.2015.1022545

zbMATH Keywords

principal component analysiscross-validationfactor analysisnuclear normsparsity norm

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to biology and medical sciences; meta analysis (62P10) Genetics and epigenetics (92D10)

Cites Work

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• Probabilistic Principal Component Analysis
• Positive-Definite ℓ₁-Penalized Estimation of Large Covariance Matrices
• Generalized Thresholding of Large Covariance Matrices

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