Penalized Normal Likelihood and Ridge Regularization of Correlation and Covariance Matrices

Title
Penalized Normal Likelihood and Ridge Regularization of Correlation and Covariance Matrices
Authors
Keywords
-
Journal
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
Volume 103, Issue 481, Pages 340-349
Publisher
Informa UK Limited
Online
2008-03-20
DOI
10.1198/016214508000000021

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