Covariance-regularized regression and classification for high dimensional problems
نویسندگان
چکیده
منابع مشابه
Covariance-regularized regression and classification for high-dimensional problems.
In recent years, many methods have been developed for regression in high-dimensional settings. We propose covariance-regularized regression, a family of methods that use a shrunken estimate of the inverse covariance matrix of the features in order to achieve superior prediction. An estimate of the inverse covariance matrix is obtained by maximizing its log likelihood, under a multivariate norma...
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ژورنال
عنوان ژورنال: Journal of the Royal Statistical Society: Series B (Statistical Methodology)
سال: 2009
ISSN: 1369-7412,1467-9868
DOI: 10.1111/j.1467-9868.2009.00699.x