Witten, Daniela M.; Tibshirani, Robert - In: Journal of the Royal Statistical Society Series B 71 (2009) 3, pp. 615-636
We propose covariance-regularized regression, a family of methods for prediction in high dimensional settings that uses a shrunken estimate of the inverse covariance matrix of the features to achieve superior prediction. An estimate of the inverse covariance matrix is obtained by maximizing the...