The spectral condition number plot for regularization parameter evaluation

@article{Peeters2020TheSC,
  title={The spectral condition number plot for regularization parameter evaluation},
  author={C. F. Peeters and M. A. V. D. Wiel and W. N. Wieringen},
  journal={Computational Statistics},
  year={2020},
  volume={35},
  pages={629-646}
}
  • C. F. Peeters, M. A. V. D. Wiel, W. N. Wieringen
  • Published 2020
  • Mathematics, Computer Science
  • Computational Statistics
  • Many modern statistical applications ask for the estimation of a covariance (or precision) matrix in settings where the number of variables is larger than the number of observations. There exists a broad class of ridge-type estimators that employs regularization to cope with the subsequent singularity of the sample covariance matrix. These estimators depend on a penalty parameter and choosing its value can be hard, in terms of being computationally unfeasible or tenable only for a restricted… CONTINUE READING
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