Sparse covariance matrix estimation with eigenvalue constraints

Journal of Computational and Graphical Statistics

Volumn 23, Issue 2, 2014, Pages 439-459

  Liu, Han ^a   Wang, Lie ^b   Zhao, Tuo ^c  

^a Princeton University   (United States)

^b MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

^c Whiting School of Engineering   (United States)

Author keywords

Explicit eigenvalue constraint; High dimensional data; Positivedefiniteness guarantee

Indexed keywords

EID: 84901751179     PISSN: 10618600     EISSN: 15372715     Source Type: Journal    
DOI: 10.1080/10618600.2013.782818     Document Type: Article

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