Cross-Validated Loss-based Covariance Matrix Estimator Selection in High Dimensions

DOI10.1080/10618600.2022.2110883arXiv2102.09715OpenAlexW3131114373WikidataQ114099320 ScholiaQ114099320MaRDI QIDQ6094089

Mark J. Van der Laan, Nima S. Hejazi, Sandrine Dudoit, Unnamed Author

Publication date: 9 October 2023

Published in: Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2102.09715

zbMATH Keywords

dimension reductioncross-validationhigh-dimensional statisticscovariance matrix estimationloss-based estimation

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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