 CLIME precision-matrix estimator

ID: clime-precision-matrix-estimator

The constrained

ℓ^{1}

minimization estimator minimizes

∥ Ω ∥_{1}

subject to

∥ Σ Ω - I ∥_{m a x} \leq λ .

Its constraints and objective separate by columns. Feasibility of the true precision matrix and elementary matrix-norm inequalities yield entrywise error bounds under an entrywise covariance-estimation bound.

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