Generalized thresholding of large covariance matrices

Journal of the American Statistical Association

Volumn 104, Issue 485, 2009, Pages 177-186

  Rothman, Adam J ^a   Levina, Elizaveta ^a   Zhu, Ji ^a  

^a UNIVERSITY OF MICHIGAN   (United States)

Author keywords

Covariance; High dimensional data; Regularization; Sparsity; Thresholding

Indexed keywords

EID: 70350337963     PISSN: 01621459     EISSN: None     Source Type: Journal    
DOI: 10.1198/jasa.2009.0101     Document Type: Article

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