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Sparse estimation of a covariance matrix
We suggest a method for estimating a covariance matrix on the basis of a sample of vectors drawn from a multivariate normal distribution. In particular, we penalize the likelihood with a lasso penalty on the entries of the covariance matrix. This penalty plays two important roles: it reduces the eff...
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| Hauptverfasser: | , |
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| Format: | Artigo |
| Sprache: | Inglês |
| Veröffentlicht: |
Oxford University Press
2011
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| Schlagworte: | |
| Online Zugang: | https://ncbi.nlm.nih.gov/pmc/articles/PMC3413177/ https://ncbi.nlm.nih.gov/pubmed/23049130 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1093/biomet/asr054 |
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