A proximal distance algorithm for likelihood-based sparse covariance estimation

DOI10.1093/BIOMET/ASAC011OpenAlexW4210909547WikidataQ115582920 ScholiaQ115582920MaRDI QIDQ5872849

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Publication date: 4 January 2023

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2109.04497

zbMATH Keywords

sequential unconstrained minimizationmajorization-minimizationproximal algorithmpenalized likelihoodsparse estimationdistance-to-set penalty

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (2)

Direct covariance matrix estimation with compositional data ⋮ The stochastic proximal distance algorithm

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