Shrinkage tuning parameter selection in precision matrices estimation

Journal of Statistical Planning and Inference

Volumn 141, Issue 8, 2011, Pages 2839-2848

  Lian, Heng ^a  

^a NANYANG TECHNOLOGICAL UNIVERSITY   (Singapore)

Author keywords

Adaptive lasso; BIC; Generalized approximate cross validation; Precision matrix; SCAD penalty

Indexed keywords

EID: 79954608624     PISSN: 03783758     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jspi.2011.03.008     Document Type: Article

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