Positive Definite Estimation of Large Covariance Matrix Using Generalized Nonconvex Penalties.

Fei Wen Yuan Yang Peilin Liu Robert C. Qiu

Published in: CoRR (2016)

Keyphrases

covariance matrix
positive definite
estimation error
covariance matrices
objective function
principal component analysis
semi parametric
sample size
convex optimization
fisher information
least squares
support vector
symmetric matrix