Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
415338 | Computational Statistics & Data Analysis | 2016 | 14 Pages |
Abstract
Several attempts to estimate covariance matrices with sparsity constraints have been made. A convex optimization formulation for estimating correlation matrices as opposed to covariance matrices is proposed. An efficient accelerated proximal gradient algorithm is developed, and it is shown that this method gives a faster rate of convergence. An adaptive version of this approach is also discussed. Simulation results and an analysis of a cardiovascular microarray confirm its performance and usefulness.
Keywords
Related Topics
Physical Sciences and Engineering
Computer Science
Computational Theory and Mathematics
Authors
Ying Cui, Chenlei Leng, Defeng Sun,