Fused-Lasso Regularized Cholesky Factors of Large Nonstationary Covariance Matrices of Replicated Time Series

Aramayis Dallakyan, Mohsen Pourahmadi. Fused-Lasso Regularized Cholesky Factors of Large Nonstationary Covariance Matrices of Replicated Time Series. J. Comput. Graph. Stat., 32(1):157-170, January 2023. [doi]

Abstract

Abstract is missing.