Sequential Scaled Sparse Factor Regression
نویسندگان
چکیده
منابع مشابه
Sparse matrix inversion with scaled Lasso
We propose a new method of learning a sparse nonnegative-definite target matrix. Our primary example of the target matrix is the inverse of a population covariance or correlation matrix. The algorithm first estimates each column of the target matrix by the scaled Lasso and then adjusts the matrix estimator to be symmetric. The penalty level of the scaled Lasso for each column is completely dete...
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2020
ISSN: 0735-0015,1537-2707
DOI: 10.1080/07350015.2020.1844212