Regularization for high-dimensional covariance matrix

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Cites work

Adaptive thresholding for sparse covariance matrix estimation
Covariance regularization by thresholding
Covariance structure regularization via Frobenius-norm discrepancy
Covariance structure regularization via entropy loss function
Generalized thresholding of large covariance matrices
Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
Operator norm consistent estimation of large-dimensional sparse covariance matrices
Positive definite estimators of large covariance matrices
Positive-definite \(\ell_1\)-penalized estimation of large covariance matrices
Square-root lasso: pivotal recovery of sparse signals via conic programming

Cited in

(9)

Covariance-regularized regression and classification for high dimensional problems
Correlation structure regularization via entropy loss function for high-dimension and low-sample-size data
Regularization in statistics
Block-diagonal precision matrix regularization for ultra-high dimensional data
Regularized parameter estimation of high dimensional distribution
An efficient numerical method for condition number constrained covariance matrix approximation
Covariance structure regularization via Frobenius-norm discrepancy
Covariance matrix regularization for banded Toeplitz structure via Frobenius-norm discrepancy
Covariance structure regularization via entropy loss function

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