Covariance Hypotheses Which are Linear in Both the Covariance and the Inverse Covariance
نویسندگان
چکیده
منابع مشابه
JPEN Estimation of Covariance and Inverse Covariance Matrix A Well-Conditioned and Sparse Estimation of Covariance and Inverse Covariance Matrices Using a Joint Penalty
We develop a method for estimating well-conditioned and sparse covariance and inverse covariance matrices from a sample of vectors drawn from a sub-gaussian distribution in high dimensional setting. The proposed estimators are obtained by minimizing the quadratic loss function and joint penalty of `1 norm and variance of its eigenvalues. In contrast to some of the existing methods of covariance...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 1988
ISSN: 0090-5364
DOI: 10.1214/aos/1176350707