Group Lasso Estimation of High-dimensional Covariance Matrices.
Jérémie BigotRolando J. BiscayJean-Michel LoubesLilian Muñiz-AlvarezPublished in: J. Mach. Learn. Res. (2011)
Keyphrases
- covariance matrices
- group lasso
- variable selection
- high dimensional
- covariance matrix
- maximum likelihood
- distance measure
- vector space
- gaussian distribution
- low dimensional
- gaussian mixture model
- cross validation
- high dimensional data
- similarity search
- dimensionality reduction
- multiple kernel learning
- gaussian mixture
- dimension reduction
- nearest neighbor
- density estimation
- regression model
- feature space
- low rank
- multi task
- principal component analysis
- model selection
- sample size