Sparse estimation of a covariance matrix

Wishart distributions for decomposable covariance graph models

(2011) Kshitij Khare et al.   ANNALS OF STATISTICS

A new approach to Cholesky-based covariance regularization in high dimensions

(2010) A. J. Rothman et al.   BIOMETRIKA

Sparsistency and rates of convergence in large covariance matrix estimation

(2009) Clifford Lam et al.   ANNALS OF STATISTICS

Generalized Thresholding of Large Covariance Matrices

(2009) Adam J. Rothman et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

A Fast Iterative Shrinkage-Thresholding Algorithm for Linear Inverse Problems

(2009) Amir Beck et al.   SIAM Journal on Imaging Sciences

Sparse permutation invariant covariance estimation

(2008) Adam J. Rothman et al.   Electronic Journal of Statistics