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中山大学岭南学院高级计量经济学课件（II：Panel Data）CH3 Covariance Structure and Robust Covariance Estimation
中山大学岭南学院 高级计量经济学 课件（II：Panel Data） CH3 Covariance Structure and Robust Covariance Estimation
2017/6/14
中山大学岭南学院高级计量经济学课件（II：Panel Data）CH3 Covariance Structure and Robust Covariance Estimation。
Sparse inverse covariance estimation with the lasso
Sparse inverse covariance estimation the lasso
2015/8/21
We consider the problem of estimating sparse graphs by a lasso penalty applied to the inverse covariance matrix. Using a coordinate descent procedure for the lasso, we develop a simple algorithm— the ...
Sparse Covariance Estimation When Variables are Ordered
Sparse Covariance Estimation Variables Ordered
2015/3/20
Sparse Covariance Estimation When Variables are Ordered.
High-dimensional covariance estimation based on Gaussian graphical models
High-dimensional covariance estimation Gaussian graphical models
2010/12/15
Undirected graphs are often used to describe high dimensional distributions. Under sparsity
conditions, the graph can be estimated using ℓ1-penalization methods. We propose and study
the follo...