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 entropy loss function
Covariance structure regularization via Frobenius-norm discrepancy
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 _1-penalized estimation of large covariance matrices
Square-root lasso: pivotal recovery of sparse signals via conic programming

Cited in

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

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