A Constrainedℓ1Minimization Approach to Sparse Precision Matrix Estimation
نویسندگان
چکیده
منابع مشابه
A Constrained 1 Minimization Approach to Sparse Precision Matrix Estimation
This article proposes a constrained 1 minimization method for estimating a sparse inverse covariance matrix based on a sample of n iid p-variate random variables. The resulting estimator is shown to have a number of desirable properties. In particular, the rate of convergence between the estimator and the true s-sparse precision matrix under the spectral norm is s √ log p/n when the population ...
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ژورنال
عنوان ژورنال: Journal of the American Statistical Association
سال: 2011
ISSN: 0162-1459,1537-274X
DOI: 10.1198/jasa.2011.tm10155