Lassoing eigenvalues
Work
Year: 2019
Type: article
Abstract: Summary The properties of penalized sample covariance matrices depend on the choice of the penalty function. In this paper, we introduce a class of nonsmooth penalty functions for the sample covarianc... more
Source: Biometrika
Authors David E. Tyler, Mengxi Yi
Institutions Rutgers, The State University of New Jersey, University of International Business and Economics
Cites: 35
Cited by: 4
Related to: 10
FWCI: 0.339
Citation percentile (by year/subfield): 68.82
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Sustainable Development Goal Peace, justice, and strong institutions
Open Access status: bronze