Description
Empirical covariance matrix derived from the ER dataset. The original
dimension 7027 was reduced to 692 by thresholding.source
http://www.math.nus.edu.sg/~mattohkc/Covsel-0.zipReferences
Lu Li, Kim-Chuan Toh: An inexact interior point method for L1 regularized sp
arse covariance selection. Math. Prog. Comp. (2010) 2:291-315