Title: Lassoing eigenvalues
Authors: Mengxi Yi - University of International Business and Economics (China) [presenting]
Abstract: The properties of penalized sample covariance matrices depend on the choice of the penalty function. We will introduce a class of non-smooth penalty functions for the sample covariance matrix, and demonstrate how this method results in a grouping of the estimated eigenvalues. We refer to this method as lassoing eigenvalues or as the elasso.