Monitoring the covariance matrix with fewer observations than variables
type: Item
instance of: scholarly article
title: Monitoring the covariance matrix with fewer observations than variables
zbMATH Open document ID: 1468.62129
author: Edgard M. Maboudou-Tchao
author: Vincent Agboto
published in: Computational Statistics and Data Analysis
publication date: 2018-10-19T00:00:00Z
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 62P30
zbMATH DE Number: 6958945
zbMATH Keywords: covariance matrix
zbMATH Keywords: penalized likelihood function
zbMATH Keywords: average run length (ARL)
zbMATH Keywords: multistandardization
zbMATH Keywords: Cholesky decomposition
describes a project that uses: glasso
MaRDI profile type: Publication
full work available at URL: j.csda.2013.02.028
OpenAlex ID: W2059290350
cites work: Q3096116
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DOI: 10.1016/J.CSDA.2013.02.028
description: scientific article; zbMATH DE number 6958945