The Generalized Ridge Estimator of the Inverse Covariance Matrix
From MaRDI portal
Publication:108070
DOI10.1080/10618600.2019.1604374OpenAlexW2937632374MaRDI QIDQ108070
Wessel N. van Wieringen, Wessel N. van Wieringen
Publication date: 6 June 2019
Published in: Journal of Computational and Graphical Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10618600.2019.1604374
Related Items
Precision matrix estimation using penalized generalized Sylvester matrix equation, Information‐incorporated Gaussian graphical model for gene expression data, Estimating covariance and precision matrices along subspaces, Updating of the Gaussian graphical model through targeted penalized estimation, porridge, A parallel algorithm for ridge-penalized estimation of the multivariate exponential family from data of mixed types, Smoothly adaptively centered ridge estimator
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Sparse inverse covariance estimation with the graphical lasso
- Ridge estimation of the VAR(1) model and its time series chain graph from multivariate time-course omics data
- A well-conditioned estimator for large-dimensional covariance matrices
- On the mean squared error of the ridge estimator of the covariance and precision matrix
- Ridge estimation of inverse covariance matrices from high-dimensional data
- Sparse estimation of large covariance matrices via a nested Lasso penalty
- Gradient-based Regularization Parameter Selection for Problems With Nonsmooth Penalty Functions
- Asymptotic Statistics
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- Reconstruction of molecular network evolution from cross‐sectional omics data
- Hadamard Square Roots
- Learning Local Dependence In Ordered Data
- Functions of Matrices
- Large-Scale Simultaneous Hypothesis Testing
