Large Covariance Matrix Estimation by Composite Minimization

The present thesis concerns large covariance matrix estimation via composite minimization under the assumption of low rank plus sparse structure. Existing methods like POET (Principal Orthogonal complEment Thresholding) perform estimation by extracting principal components and then applying a soft...

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Bibliographic Details
Main Author: Farne', Matteo <1988>
Other Authors: Montanari, Angela
Format: Doctoral Thesis
Language:en
Published: Alma Mater Studiorum - Università di Bologna 2016
Subjects:
Online Access:http://amsdottorato.unibo.it/7250/