Positive-definite l1-penalized estimation of large covariance matrices

Journal of the American Statistical Association

Volumn 107, Issue 500, 2012, Pages 1480-1491

  Xue, Lingzhou ^a   Ma, Shiqian ^b   Zou, Hui ^c  

^a Princeton University   (United States)

^b CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

^c UNIVERSITY OF MINNESOTA   (United States)

Author keywords

Alternating direction methods; Matrix norm; Positive definite estimation; Soft thresholding; Sparsity

Indexed keywords

EID: 84871968656     PISSN: 01621459     EISSN: 1537274X     Source Type: Journal    
DOI: 10.1080/01621459.2012.725386     Document Type: Article

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