Sparse estimation of large covariance matrices via a nested lasso penalty

Levina, Elizaveta, Rothman, Adam, Zhu, Ji . The Annals of Applied Statistics 2008. 2 (1) :245-263

Locate this article in:

Bibtex

@article{CIS-230701,
  Author = {Levina, Elizaveta and Rothman, Adam and Zhu, Ji},
  Title = {Sparse estimation of large covariance matrices via a nested lasso penalty},
  Journal = {The Annals of Applied Statistics},
  Volume = {2},
  Number = {1},
  Year = {2008},
  Pages = {245--263},
  Keywords = {Cholesky decomposition, Covariance matrix, sparsity, high dimension low sample size, large $p$ small $n$}
}

Similar articles