Regularized estimation of large covariance matrices

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DOI10.1214/009053607000000758zbMath1132.62040arXiv0803.1909OpenAlexW3101788651WikidataQ107314656 ScholiaQ107314656MaRDI QIDQ2477058

Elizaveta Levina, Peter J. Bickel

Publication date: 12 March 2008

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0803.1909

zbMATH Keywords

regularization covariance matrix Cholesky decomposition banding

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Bootstrap, jackknife and other resampling methods (62F40) Eigenvalues, singular values, and eigenvectors (15A18)

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