Estimation of sparse covariance matrix via non-convex regularization.
Xin WangLingchen KongLiqun WangPublished in: J. Multivar. Anal. (2024)
Keyphrases
- covariance matrix
- estimation error
- covariance matrices
- principal component analysis
- multivariate gaussian
- sample size
- mahalanobis distance
- eigendecomposition
- gaussian mixture
- positive definite
- maximum likelihood estimation
- objective function
- eigenvalues and eigenvectors
- geometrical interpretation
- correlation matrix
- class conditional densities
- sparse representation
- convex optimization
- cma es
- high dimensional
- bregman divergences
- semi supervised
- upper bound
- symmetric matrix
- np hard