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Threshold Selection for Covariance Estimation

Biometrics, 2019
Abstract Thresholding is a regularization method commonly used for covariance estimation, which provides consistent estimators if the population covariance satisfies certain sparsity condition (Bickel and Levina, 2008a; Cai and Liu, 2011). However, the performance of the thresholding estimators heavily depends on the threshold level.
Yumou Qiu, Janaka S. S. Liyanage
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