154 citations · 154 across the 2 of their papers we have counts for
2 papers
stat.ME2009
A new approach to Cholesky-based covariance regularization in high dimensions
Adam J. Rothman, Elizaveta Levina, Ji Zhu
In this paper we propose a new regression interpretation of the Cholesky factor of the covariance matrix, as opposed to the well known regression interpretation of the Cholesky fac…
stat.AP2008★ 154 cited
Sparse estimation of large covariance matrices via a nested Lasso penalty
Elizaveta Levina, Adam Rothman, Ji Zhu
The paper proposes a new covariance estimator for large covariance matrices when the variables have a natural ordering. Using the Cholesky decomposition of the inverse, we impose a…