Threshold selection for covariance estimation.
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DOI: 10.1111/biom.13048
Abstract: Thresholding is a regularization method commonly used for covariance estimation, which provides consistent estimators if the population covariance satisfies certain sparsity condition (Bickel and Levina, 2008a; Cai and Liu, 2011). However, the performance of the… read more here.
Keywords: threshold level; covariance estimation; selection covariance; threshold selection ... See more keywords