Rothman, Adam J.; Levina, Elizaveta; Zhu, Ji - In: Biometrika 97 (2010) 3, pp. 539-550
In this paper we propose a new regression interpretation of the Cholesky factor of the covariance matrix, as opposed to the well-known regression interpretation of the Cholesky factor of the inverse covariance, which leads to a new class of regularized covariance estimators suitable for...