تقرير
Lassoing Eigenvalues
| العنوان: | Lassoing Eigenvalues |
|---|---|
| المؤلفون: | Tyler, David E., Yi, Mengxi |
| سنة النشر: | 2018 |
| المجموعة: | Statistics |
| مصطلحات موضوعية: | Statistics - Methodology, 62H12 (primary), 62H25 (secondary) |
| الوصف: | The properties of penalized sample covariance matrices depend on the choice of the penalty function. In this paper, we introduce a class of non-smooth penalty functions for the sample covariance matrix, and demonstrate how this method results in a grouping of the estimated eigenvalues. We refer to this method as "lassoing eigenvalues" or as the "elasso". Comment: 18 pages, 6 figures |
| نوع الوثيقة: | Working Paper |
| الوصول الحر: | http://arxiv.org/abs/1805.08300Test |
| رقم الانضمام: | edsarx.1805.08300 |
| قاعدة البيانات: | arXiv |
| الوصف غير متاح. |