A proximal distance algorithm for likelihood-based sparse covariance estimation
基于似然的稀疏协方差估计:近端距离算法
Summary This paper addresses the task of estimating a covariance matrix under a patternless sparsity assumption. In contrast to existing approaches based on thresholding or shrinkage penalties, we propose a likelihood-based method that regularizes the distance from the covariance estimate to a symmetric sparsity set. This formulation avoids unwanted shrinkage induced by more common norm penalties, and enables optimization of the resulting nonconvex objective by solving a…