Sparse permutation invariant covariance estimation

Electronic Journal of Statistics

Volumn 2, Issue , 2008, Pages 494-515

  Rothman, Adam J ^a   Bickel, Peter J ^b   Levina, Elizaveta ^a   Zhu, Ji ^a  

^a UNIVERSITY OF MICHIGAN   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Cholesky decomposition; Covariance matrix; High dimension low sample size; Large p small n; Lasso; Sparsity

Indexed keywords

EID: 62349119614     PISSN: 19357524     EISSN: None     Source Type: Journal    
DOI: 10.1214/08-EJS176     Document Type: Article

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