Group Lasso estimation of high-dimensional covariance matrices

zbMath1280.68156arXiv1010.1601MaRDI QIDQ5396725

Jérémie Bigot, Lillian Muñiz-Alvarez, R. J. Biscay, Jean-Michel Loubes

Publication date: 3 February 2014

Full work available at URL: https://arxiv.org/abs/1010.1601

zbMATH Keywords

sparsityoracle inequalitysparse PCAbasis expansionGroup Lasso1 penaltyhigh-dimensional covariance estimation

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Learning and adaptive systems in artificial intelligence (68T05)

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