Precision matrix estimation using penalized Generalized Sylvester matrix equation

Estimating a precision matrix is an important problem in several research fields when dealing with large-scale data. Under high-dimensional settings, one of the most popular approaches is optimizing a Lasso or ℓ 1 norm penalized objective loss function. This penalization endorses sparsity in the est...

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Veröffentlicht in:	Test (Madrid, Spain) Spain), 2022-12, Vol.31 (4), p.950-967
1. Verfasser:	Avagyan, Vahe
Format:	Artikel
Sprache:	eng
Schlagworte:	Economics Estimation Finance Insurance Management Mathematics and Statistics Numerical analysis Original Paper Statistical Theory and Methods Statistics Statistics for Business
Online-Zugang:	Volltext
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