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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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Detalhes bibliográficos
Publicado no:J Am Stat Assoc
Main Authors: Bien, Jacob, Bunea, Florentina, Xiao, Luo
Formato: Artigo
Idioma:Inglês
Publicado em: 2016
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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