A self-calibrated direct approach to precision matrix estimation and linear discriminant analysis in high dimensions

DOI10.1016/j.csda.2020.107105OpenAlexW2972219024MaRDI QIDQ829737

Chi Seng Pun, Matthew Zakharia Hadimaja

Publication date: 6 May 2021

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2020.107105

zbMATH Keywords

high-dimensional statisticslinear discriminant analysisprecision matrix estimation\( \ell_1\)-regularized quadratic programmingdirect estimation approachself-calibrated regularization

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (2)

Multiclass sparse discriminant analysis incorporating graphical structure among predictors ⋮ A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection

Uses Software

• glasso
• SIS

Cites Work

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