The spectral condition number plot for regularization parameter evaluation
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Publication:782639
DOI10.1007/s00180-019-00912-zzbMath1482.62016arXiv1608.04123MaRDI QIDQ782639
Publication date: 28 July 2020
Published in: Computational Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1608.04123
eigenvalues; matrix condition number; \( \ell_2\)-penalization; high-dimensional covariance (precision) estimation
62-08: Computational methods for problems pertaining to statistics
62A09: Graphical methods in statistics
Uses Software