Correlation structure regularization via entropy loss function for high-dimension and low-sample-size data

Chen, C; Zhou, J; Pan, JX

Zhou, J (corresponding author), Sichuan Univ, Coll Math, Chengdu 610064, Sichuan, Peoples R China.

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2021; 50 (4): 973

Abstract

Estimating structured covariance or correlation matrix has been paid more and more attentions in recent years. A recent method based on the entropy lo......

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