Forward adaptive banding for estimating large covariance matrices

Forward adaptive banding for estimating large covariance matrices

10.1093/biomet/asr045

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Bibliographic Details
Main Authors: Leng, C., Li, B.
Other Authors: STATISTICS & APPLIED PROBABILITY
Format: Article
Published: 2014
Subjects:
Adaptive banding
Bic
Lasso
Modified Cholesky decomposition
Variable selection
Online Access:http://scholarbank.nus.edu.sg/handle/10635/105153
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Institution: National University of Singapore
Description
Summary:10.1093/biomet/asr045

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