most citedSparse estimation of large covariance matrices via a nested Lasso penalty

154 citations · 154 across the 2 of their papers we have counts for

collaborators
Showing stat.MEShow all

1 paper · 1 filter

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…