A joint convex penalty for inverse covariance matrix estimation
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DOI: 10.1016/j.csda.2014.01.015
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References listed on IDEAS
- Sheena Yo & Gupta Arjun K., 2003. "Estimation of the multivariate normal covariance matrix under some restrictions," Statistics & Risk Modeling, De Gruyter, vol. 21(4), pages 327-342, April.
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Keywords
Proximal gradient; Joint penalty; Convex optimization; Sparsity;All these keywords.
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