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Lassoing eigenvalues

Tyler, DE; Yi, MX

Tyler, DE (corresponding author), Rutgers State Univ, Dept Stat, 110 Frelinghuysen Rd, Piscataway, NJ 08854 USA.

BIOMETRIKA, 2020; 107 (2): 397

Abstract

The properties of penalized sample covariance matrices depend on the choice of the penalty function. In this paper, we introduce a class of nonsmooth ......

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