most citedA Well-Conditioned and Sparse Estimation of Covariance and Inverse Covariance Matrices Using a Joint Penalty

3 citations · 3 across the 1 of their papers we have counts for

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1 paper

math.ST2014★ 3 cited

A Well-Conditioned and Sparse Estimation of Covariance and Inverse Covariance Matrices Using a Joint Penalty

Ashwini Maurya

We develop a method for estimating well-conditioned and sparse covariance and inverse covariance matrices from a sample of vectors drawn from a sub-gaussian distribution in high di…