A self-calibrated direct approach to precision matrix estimation and linear discriminant analysis in high dimensions
A self-calibrated direct estimation algorithm based on ℓ1-regularized quadratic programming is proposed. The self-calibration is achieved by an iterative algorithm for finding the regularization parameter simultaneously with the estimation target. The proposed algorithm is free of cross-validation....
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Journal Article |
| Language: | English |
| Published: |
2022
|
| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/154897 |