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Positive Definite $\ell_1$ Penalized Estimation of Large Covariance Matrices
Alternating direction methods Large covariance matrices Matrix norm Positive-de nite estimation Sparsity Soft-thresholding.
2012/9/18
The thresholding covariance estimator has nice asymptotic properties for estimating sparse large covariance matrices, but it often has negative eigenvalues when used in real data analysis. To simultan...