High dimensional covariance matrix estimation by penalizing the matrix-logarithm transformed likelihood

Leung Ho Philip YU, Xiaohang WANG, Yuanyuan ZHU

Research output: Contribution to journal › Articles › peer-review

10 Citations (Scopus)
Original languageEnglish
Pages (from-to)12-25
JournalComputational Statistics and Data Analysis
Volume114
Early online dateMay 2017
DOIs
Publication statusPublished - Oct 2017

Citation

Yu, P. L. H., Wang, X., & Zhu, Y. (2017). High dimensional covariance matrix estimation by penalizing the matrix-logarithm transformed likelihood. Computational Statistics and Data Analysis, 114, 12-25. doi: 10.1016/j.csda.2017.04.004

Keywords

  • Covariance matrix estimation
  • Matrix-logarithm transformation
  • Penalization

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