A Log-Det Heuristics for Covariance Matrix Estimation: The Analytic Setup

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...

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Bibliographic Details
Main Authors: Enrico Bernardi, Matteo Farnè
Format: Article
Language:English
Published: MDPI AG 2022-07-01
Series:Stats
Subjects:
nonconvex optimization
local convexity
nuclear norm
covariance matrix
high dimension
Online Access:https://www.mdpi.com/2571-905X/5/3/37

Internet

https://www.mdpi.com/2571-905X/5/3/37

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