Double shrinkage estimators for large sparse covariance matrices

DOI10.1080/00949655.2013.873042zbMath1457.62167OpenAlexW2212929876MaRDI QIDQ5220803

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Publication date: 27 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://figshare.com/articles/journal_contribution/Double_shrinkage_estimators_for_large_sparse_covariance_matrices/963305

zbMATH Keywords

positive definitenessadaptive Lassosparsenessgeneralized thresholding

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Related Items (2)

Double shrunken selection operator ⋮ Fast Bayesian variable screenings for binary response regressions with small sample size

Uses Software

• glasso
• spcov

Cites Work

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• Generalized Thresholding of Large Covariance Matrices
• Computing the distribution of quadratic forms in normal variables

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