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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| Format: | Doctoral Thesis |
| Language: | en |
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Alma Mater Studiorum - Università di Bologna
2016
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| Online Access: | http://amsdottorato.unibo.it/7250/ |