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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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Bibliografiska uppgifter
I publikationen:J Am Stat Assoc
Huvudupphovsmän: Bien, Jacob, Bunea, Florentina, Xiao, Luo
Materialtyp: Artigo
Språk:Inglês
Publicerad: 2016
Ämnen:
Länkar: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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