Ridge estimation of inverse covariance matrices from high-dimensional data

Computational Statistics and Data Analysis

Volumn 103, Issue , 2016, Pages 284-303

  Van Wieringen, Wessel N ^a,b   Peeters, Carel F W ^a  

^a VU UNIVERSITY MEDICAL CENTER   (Netherlands)

^b VU UNIVERSITY AMSTERDAM   (Netherlands)

Author keywords

2 penalization; Graphical modeling; High dimensional precision matrix estimation; Multivariate normal; Precision matrix

Indexed keywords

CLUSTERING ALGORITHMS; COVARIANCE MATRIX; EIGENVALUES AND EIGENFUNCTIONS; GRAPHIC METHODS; INVERSE PROBLEMS;

ANALYTIC EXPRESSIONS; GRAPHICAL MODEL; HIGH DIMENSIONAL DATA; HIGH-DIMENSIONAL; INVERSE COVARIANCE; MULTIVARIATE NORMAL; PRECISION MATRIX; RIDGE ESTIMATORS;

MATRIX ALGEBRA;

EID: 84974815616     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2016.05.012     Document Type: Article

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