High dimensional covariance matrix estimation by penalizing the matrix-logarithm transformed likelihood

DOI10.1016/j.csda.2017.04.004zbMath1464.62193OpenAlexW2610862920MaRDI QIDQ1658345

Philip L. H. Yu, Xiaohang Wang, Yuan-Yuan Zhu

Publication date: 14 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2017.04.004

zbMATH Keywords

penalizationcovariance matrix estimationmatrix-logarithm transformation

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12)

Related Items

Shrinking the Covariance Matrix Using Convex Penalties on the Matrix-Log Transformation, On variable ordination of Cholesky‐based estimation for a sparse covariance matrix

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