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

• Main Authors: Pun, Chi Seng, Hadimaja, Matthew Zakharia
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2022
• Subjects: Science::Mathematics; High-Dimensional Statistics; Precision Matrix Estimation
• Online Access: https://hdl.handle.net/10356/154897
• Institution: Nanyang Technological University

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....