High-Dimensional Precision Matrix Estimation through GSOS with Application in the Foreign Exchange Market
This article studies the estimation of the precision matrix of a high-dimensional Gaussian network. We investigate the graphical selector operator with shrinkage, GSOS for short, to maximize a penalized likelihood function where the elastic net-type penalty is considered as a combination of a norm-o...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-11-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/10/22/4232 |