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