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Sparse Covariance Matrix Estimation With Eigenvalue Constraints
We propose a new approach for estimating high-dimensional, positive-definite covariance matrices. Our method extends the generalized thresholding operator by adding an explicit eigenvalue constraint. The estimated covariance matrix simultaneously achieves sparsity and positive definiteness. The esti...
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| Gepubliceerd in: | J Comput Graph Stat |
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| Hoofdauteurs: | , , |
| Formaat: | Artigo |
| Taal: | Inglês |
| Gepubliceerd in: |
2014
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| Onderwerpen: | |
| Online toegang: | https://ncbi.nlm.nih.gov/pmc/articles/PMC4303596/ https://ncbi.nlm.nih.gov/pubmed/25620866 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1080/10618600.2013.782818 |
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