Estimation of covariance matrix via the sparse Cholesky factor with lasso (Q993832)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Estimation of covariance matrix via the sparse Cholesky factor with lasso |
scientific article; zbMATH DE number 5788991
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of covariance matrix via the sparse Cholesky factor with lasso |
scientific article; zbMATH DE number 5788991 |
Statements
Estimation of covariance matrix via the sparse Cholesky factor with lasso (English)
0 references
20 September 2010
0 references
adding and removing variables
0 references
equi-angular covariance estimate
0 references
dynamic weighted lasso
0 references
\(L_{1}\) penalty
0 references
updating
0 references
modified Cholesky decomposition
0 references
0 references
0.9359703
0 references
0.92658055
0 references
0.9165634
0 references
0.9155495
0 references
0.90650904
0 references
0.9016139
0 references
0.9004744
0 references
0.8996383
0 references
0.8978951
0 references
0.89724845
0 references
