Covariance structure regularization via entropy loss function
نویسندگان
چکیده
منابع مشابه
Covariance structure regularization via entropy loss function
The need to estimate structured covariance matrices arises in a variety of applications and the problem is widely studied in statistics. We propose a new method for regularizing the covariance structure of a given covariance matrix whose underlying structure has been blurred by random noise, particularly when the dimension of the covariance matrix is high. The regularization is made by choosing...
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ژورنال
عنوان ژورنال: Computational Statistics & Data Analysis
سال: 2014
ISSN: 0167-9473
DOI: 10.1016/j.csda.2013.10.004