Cross-Validated Loss-based Covariance Matrix Estimator Selection in High Dimensions.
Philippe BoileauNima S. HejaziMark J. van der LaanSandrine DudoitPublished in: J. Comput. Graph. Stat. (2023)
Keyphrases
- covariance matrix
- high dimensions
- cross validated
- estimation error
- cross validation
- high dimensional data
- high dimensional
- sample size
- principal component analysis
- log likelihood
- high dimensional spaces
- poor quality
- maximum likelihood
- least squares
- objective function
- model selection
- hyperparameters
- parameter estimation
- data mining
- distance measure
- mutual information
- training data
- machine learning