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Lam, Clifford

High-dimensional covariance matrix estimation. (English) Zbl 07909786

Wiley Interdiscip. Rev., WIREs Comput. Stat. 12, No. 2, Article ID e1485, 21 p. (2020).

Cited in 7 Documents

MSC:

62-08 Computational methods for problems pertaining to statistics

Keywords:

structured covariance estimation; factor model; low rank plus sparse; shrinkage; sparsity

Software:

glasso
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Full Text: DOI

References:

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