The effect of L1 penalization on condition number constrained estimation of precision matrix
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Publication:5278107
DOI10.5705/ss.202015.0011zbMath1370.62029OpenAlexW2592002417MaRDI QIDQ5278107
Publication date: 13 July 2017
Published in: Statistica Sinica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.5705/ss.202015.0011
Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20) Parametric inference under constraints (62F30)
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