A self-calibrated direct approach to precision matrix estimation and linear discriminant analysis in high dimensions

A self-calibrated direct estimation algorithm based on ℓ1-regularized quadratic programming is proposed. The self-calibration is achieved by an iterative algorithm for finding the regularization parameter simultaneously with the estimation target. The proposed algorithm is free of cross-validation....

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Bibliographic Details
Main Authors: Pun, Chi Seng, Hadimaja, Matthew Zakharia
Other Authors: School of Physical and Mathematical Sciences
Format: Article
Language:English
Published: 2022
Subjects:
Online Access:https://hdl.handle.net/10356/154897
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Institution: Nanyang Technological University
Language: English