Correlation structure regularization via entropy loss function for high-dimension and low-sample-size data
DOI10.1080/03610918.2019.1571607zbMath1489.62165OpenAlexW2914903224MaRDI QIDQ5082586
Jie Zhou, Chen Chen, Jian-Xin Pan
Publication date: 21 June 2022
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://www.research.manchester.ac.uk/portal/en/publications/correlation-structure-regularization-via-entropy-loss-function-for-highdimension-and-lowsamplesize-data(63a10c25-fc48-4fa6-8d1e-45e98efea649).html
regularizationBregman divergenceentropy loss functioncorrelation matrix estimationhigh-dimensional correlation matrix
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)
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