Regularization for high-dimensional covariance matrix

DOI10.1515/spma-2016-0018zbMath1341.62156OpenAlexW2344632425MaRDI QIDQ287603

Jine Zhao, Xiangzhao Cui, Chun Li, Li Zeng, Defei Zhang, Jian-Xin Pan

Publication date: 23 May 2016

Published in: Special Matrices (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/spma-2016-0018

zbMATH Keywords

regularizationcovariance structurecovariance estimationhigh-dimensional

Mathematics Subject Classification ID

Multivariate analysis (62H99) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cites Work

• Covariance structure regularization via Frobenius-norm discrepancy
• Covariance regularization by thresholding
• Operator norm consistent estimation of large-dimensional sparse covariance matrices
• Covariance structure regularization via entropy loss function
• Positive definite estimators of large covariance matrices
• Adaptive Thresholding for Sparse Covariance Matrix Estimation
• Square-root lasso: pivotal recovery of sparse signals via conic programming
• Positive-Definite ℓ₁-Penalized Estimation of Large Covariance Matrices
• Generalized Thresholding of Large Covariance Matrices
• Large Covariance Estimation by Thresholding Principal Orthogonal Complements

This page was built for publication: Regularization for high-dimensional covariance matrix