A proximal distance algorithm for likelihood-based sparse covariance estimation

DOI10.1093/BIOMET/ASAC011MaRDI QIDQ5872849zbMATH OpenOpenAlexWikidataFDO

Authors Jason Xu, Kenneth Lange

Publication date 4 January 2023

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2109.04497

zbMATH Keywords

penalized likelihoodsparse estimationmajorization-minimizationproximal algorithmsequential unconstrained minimizationdistance-to-set penalty

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(2)

• The stochastic proximal distance algorithm
• Direct covariance matrix estimation with compositional data

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