A new approach for ultrahigh-dimensional covariance matrix estimation
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Publication:6067019
DOI10.1016/j.spl.2023.109929zbMath1527.62038OpenAlexW4386425006MaRDI QIDQ6067019
Publication date: 14 December 2023
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2023.109929
covariance matrixmodified Cholesky decompositionpermutation invariantrefitted cross validationultrahigh-dimensional
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