A regularized profile likelihood approach to covariance matrix estimation

DOI10.1016/j.jspi.2016.06.004zbMath1364.62125OpenAlexW2461043160MaRDI QIDQ334313

Stefano Monni, Samprit Banerjee, Martin T. Wells

Publication date: 1 November 2016

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2016.06.004

zbMATH Keywords

eigenvaluescovariance matrixLaplace approximationisotonic regressionmodified profile likelihood

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

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