Sparse permutation invariant covariance estimation

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Publication:1951760

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DOI10.1214/08-EJS176zbMath1320.62135arXiv0801.4837MaRDI QIDQ1951760

Elizaveta Levina, Ji Zhu, Adam J. Rothman, Peter J. Bickel

Publication date: 24 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0801.4837

zbMATH Keywords

covariance matrix sparsity Cholesky decomposition Lasso large \(p\) small \(n\)high dimension low sample size

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20)

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