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Condition Number Regularized Covariance Estimation

Estimation of high-dimensional covariance matrices is known to be a difficult problem, has many applications, and is of current interest to the larger statistics community. In many applications including so-called the “large p small n” setting, the estimate of the covariance matrix is required to be...

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Autors principals: Won, Joong-Ho, Lim, Johan, Kim, Seung-Jean, Rajaratnam, Bala
Format: Artigo
Idioma:Inglês
Publicat: 2012
Matèries:
Accés en línia:https://ncbi.nlm.nih.gov/pmc/articles/PMC3667751/
https://ncbi.nlm.nih.gov/pubmed/23730197
https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1111/j.1467-9868.2012.01049.x
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