# Lassoing Eigenvalues

arXiv: https://arxiv.org/abs/1805.08300 · HTML: https://mlsanity.com/paper/1805.08300/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 21 May 2018.

## Built on by (most cited first, 1 of 1)

- [Parsimonious Gaussian mixture models with piecewise-constant eigenvalue profiles](https://mlsanity.com/paper/2507.01542/) (2025)

## 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".