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20102026
most citedOn a class of stochastic differential equations with random and Hölder continuous coefficients arising in biological modeling

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math.ST2022

Large covariance matrix estimation via penalized log-det heuristics

Enrico Bernardi, Matteo Farnè

This paper provides a comprehensive estimation framework for large covariance matrices via a log-det heuristics augmented by a nuclear norm plus -norm penalty. We develop…