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Convex Banding of the Covariance Matrix
We introduce a new sparse estimator of the covariance matrix for high-dimensional models in which the variables have a known ordering. Our estimator, which is the solution to a convex optimization problem, is equivalently expressed as an estimator which tapers the sample covariance matrix by a Toepl...
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| Publicado no: | J Am Stat Assoc |
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| Main Authors: | , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
2016
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC5199058/ https://ncbi.nlm.nih.gov/pubmed/28042189 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1080/01621459.2015.1058265 |
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