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Covariance matrix selection and estimation via penalised normal likelihood
Authors:Huang  Jianhua Z; Liu  Naiping; Pourahmadi  Mohsen; Liu  Linxu
Institution:1 Department of Statistics, Texas A&M University, College Station, Texas 77843-3143, U.S.A. jianhua{at}stat.tamu.edu, 2 Department of Statistics, University of Pennsylvania, Philadelphia, Pennsylvania 19104-6340, U.S.A. nliu{at}wharton.upenn.edu, 3 Division of Statistics, Northern Illinois University, DeKalb, Illinois 60115-2854, U.S.A. pourahm{at}math.niu.edu, 4 Department of Biostatistics, Mailman School of Public Health, Columbia University, New York, New York 10032, U.S.A. lxliu{at}biostat.columbia.edu
Abstract:
Keywords:Cholesky decomposition  Crossvalidation  LASSO  Lp penalty  Model selection  Penalised likelihood  Shrinkage
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