Bien, Jacob; Tibshirani, Robert J. - In: Biometrika 98 (2011) 4, pp. 807-820
We suggest a method for estimating a covariance matrix on the basis of a sample of vectors drawn from a multivariate normal distribution. In particular, we penalize the likelihood with a lasso penalty on the entries of the covariance matrix. This penalty plays two important roles: it reduces the...