A coordinate descent algorithm for sparse positive definite matrix estimation

DOI10.1002/SAM.11185OpenAlexW2137089091MaRDI QIDQ4969917

Junhui Wang, Ting Yuan

Publication date: 14 October 2020

Published in: Statistical Analysis and Data Mining (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/sam.11185

zbMATH Keywords

positive definitenessprecision matrix estimationcoordinate descentgraph clusteringcovariance matrix estimationforward stagewise estimation

Mathematics Subject Classification ID

Statistics (62-XX) Computer science (68-XX)

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