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Stable Estimation of a Covariance Matrix Guided by Nuclear Norm Penalties
Estimation of a covariance matrix or its inverse plays a central role in many statistical methods. For these methods to work reliably, estimated matrices must not only be invertible but also well-conditioned. The current paper introduces a novel prior to ensure a well-conditioned maximum a posterior...
Tallennettuna:
| Päätekijät: | , |
|---|---|
| Aineistotyyppi: | Artigo |
| Kieli: | Inglês |
| Julkaistu: |
2014
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| Aiheet: | |
| Linkit: | https://ncbi.nlm.nih.gov/pmc/articles/PMC4133137/ https://ncbi.nlm.nih.gov/pubmed/25143662 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1016/j.csda.2014.06.018 |
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