Matthew Zakharia Hadimaja

Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences

S3 B2-A28 Nanyang Avenue

Singapore, 639798

Singapore

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Scholarly Papers (1)

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A Self-Calibrated Direct Approach to Precision Matrix Estimation and Linear Discriminant Analysis in High Dimensions

Number of pages: 37 Posted: 19 Jul 2019 Last Revised: 06 Dec 2019
Chi Seng Pun and Matthew Zakharia Hadimaja
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
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Abstract:

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High-dimensional statistics, Precision matrix estimation, Linear discriminant analysis, $\ell_1$-regularized quadratic programming, Self-calibrated regularization, Direct estimation approach