PDF-Generalized Thresholding of Large Covariance Matrices Adam J

Author : natalia-silvester | Published Date : 2014-12-13

R OTHMAN Elizaveta L EVINA and Ji Z HU Weproposeanewclassofgeneralizedthresholdingoperatorsthatcombinethresholdingwithshrinkageandstudygeneralizedthresholding ofthesamplecovariancematrixin

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