Sparse estimation of high-dimensional correlation matrices

DOI10.1016/j.csda.2014.10.001zbMath1468.62044OpenAlexW2090852491MaRDI QIDQ1660228

Defeng Sun, Ying Cui, Chenlei Leng

Publication date: 15 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.2014.10.001

zbMATH Keywords

positive definitenesscorrelation matrixsparsityhigh-dimensionalityaccelerated proximal gradient

Mathematics Subject Classification ID

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

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Uses Software

• spcov

Cites Work

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