Non-asymptotic error controlled sparse high dimensional precision matrix estimation
A. B. Kashlak
2019 · DOI: 10.1016/J.JMVA.2020.104690
Journal of Multivariate Analysis · 2 Citations
TLDR
This work proposes a novel methodology for estimating high dimensional precision matrices while controlling the false positive rate, percentage of matrix entries incorrectly chosen to be non-zero with finite sample guarantees.
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