High dimensional covariance matrix estimation by penalizing the matrix-logarithm transformed likelihood
type: Item
instance of: scholarly article
title: High dimensional covariance matrix estimation by penalizing the matrix-logarithm transformed likelihood
zbMATH Open document ID: 1464.62193
author: Philip L. H. Yu
author: Xiaohang Wang
author: Yuanyuan Zhu
published in: Computational Statistics and Data Analysis
publication date: 2018-08-14T00:00:00Z
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 62H12
zbMATH DE Number: 6917759
zbMATH Keywords: covariance matrix estimation
zbMATH Keywords: matrix-logarithm transformation
zbMATH Keywords: penalization
MaRDI profile type: Publication
full work available at URL: j.csda.2017.04.004
OpenAlex ID: W2610862920
cites work: Some theory for Fisher's linear discriminant function, `naive Bayes', and some alternatives when there are many more variables than observations
cites work: Covariance regularization by thresholding
cites work: The Matrix-Logarithmic Covariance Model
cites work: Comparison of Discrimination Methods for the Classification of Tumors Using Gene Expression Data
cites work: Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants
cites work: On the distribution of the largest eigenvalue in principal components analysis
cites work: Some limit theorems for the eigenvalues of a sample covariance matrix
cites work: A well-conditioned estimator for large-dimensional covariance matrices
cites work: Sparse estimation of large covariance matrices via a nested Lasso penalty
cites work: DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
cites work: Positive definite estimators of large covariance matrices
cites work: Positive-Definite ℓ1-Penalized Estimation of Large Covariance Matrices
cites work: Large Sample Covariance Matrices and High-Dimensional Data Analysis
cites work: Model selection and estimation in the Gaussian graphical model
DOI: 10.1016/J.CSDA.2017.04.004
description: scientific article; zbMATH DE number 6917759