A Log-Det Heuristics for Covariance Matrix Estimation: The Analytic Setup
This paper studies a new nonconvex optimization problem aimed at recovering high-dimensional covariance matrices with a low rank plus sparse structure. The objective is composed of a smooth nonconvex loss and a nonsmooth composite penalty. A number of structural analytic properties of the new heuris...
| Główni autorzy: | , |
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| Format: | Artykuł |
| Język: | English |
| Wydane: |
MDPI AG
2022-07-01
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| Seria: | Stats |
| Hasła przedmiotowe: | |
| Dostęp online: | https://www.mdpi.com/2571-905X/5/3/37 |