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David E Tyler, Mengxi Yi, Lassoing eigenvalues, Biometrika, Volume 107, Issue 2, June 2020, Pages 397–414, https://doi.org/10.1093/biomet/asz076
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Summary
The properties of penalized sample covariance matrices depend on the choice of the penalty function. In this paper, we introduce a class of nonsmooth penalty functions for the sample covariance matrix and demonstrate how their use results in a grouping of the estimated eigenvalues. We refer to the proposed method as lassoing eigenvalues, or the elasso.
© 2020 Biometrika Trust
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