Lassoing Eigenvalues
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Abstract (arXiv)
The properties of penalized sample covariance matrices depend on the choice of the penalty function. In this paper, we introduce a class of non-smooth penalty functions for the sample covariance matrix, and demonstrate how this method results in a grouping of the estimated eigenvalues. We refer to this method as "lassoing eigenvalues" or as the "elasso".
Key facts. Cited by 1 paper in the map (data through 14 Oct 2026). First posted on arXiv 21 May 2018.
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