Variable selection in multivariate linear models with high-dimensional covariance matrix estimation

Marie Perrot-Dockès, Céline Lévy-Leduc, Laure Sansonnet, Julien Chiquet. Variable selection in multivariate linear models with high-dimensional covariance matrix estimation. J. Multivariate Analysis, 166:78-97, 2018. [doi]

Abstract

Abstract is missing.