Positive-Definite ℓ<sub>1</sub>-Penalized Estimation of Large Covariance Matrices (Q4904725)
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scientific article; zbMATH DE number 6133096
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Positive-Definite ℓ<sub>1</sub>-Penalized Estimation of Large Covariance Matrices |
scientific article; zbMATH DE number 6133096 |
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Positive-Definite ℓ<sub>1</sub>-Penalized Estimation of Large Covariance Matrices (English)
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31 January 2013
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alternating direction methods
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matrix norm
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positive-definite estimation
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soft-thresholding
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sparsity
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