Estimation of high-dimensional sparse cross correlation matrix
نویسندگان
چکیده
منابع مشابه
Sparse estimation of high-dimensional correlation matrices
Estimating covariations of variables for high dimensional data is important for understanding their relations. Recent years have seen several attempts to estimate covariance matrices with sparsity constraints. A new convex optimization formulation for estimating correlation matrices, which are scale invariant, is proposed as opposed to covariance matrices. The constrained optimization problem i...
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ژورنال
عنوان ژورنال: Communications for Statistical Applications and Methods
سال: 2022
ISSN: ['2287-7843', '2383-4757']
DOI: https://doi.org/10.29220/csam.2022.29.6.655