Sparse Covariance Matrix Estimation by DCA-Based Algorithms.

Phan Duy Nhat Hoai An Le Thi Tao Pham Dinh

Published in: Neural Comput. (2017)

Keyphrases

covariance matrix
principal component analysis
eigenvalues and eigenvectors
computational complexity
regularized regression
search algorithm
maximum likelihood
sample size
estimation error
maximum likelihood estimation
covariance matrices
pseudo inverse