On estimation of the diagonal elements of a sparse precision matrix

DOI10.1214/16-EJS1148zbMath1342.62088arXiv1504.04696MaRDI QIDQ302437

Samuel Balmand, Arnak S. Dalalyan

Publication date: 5 July 2016

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.04696

zbMATH Keywords

sparse recoveryprecision matrixpenalized likelihood

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

Related Items

Fast estimates for the diagonal of the inverse of large scale matrices appearing in applications, Robust Estimators in High-Dimensions Without the Computational Intractability

Uses Software

• Mosek
• glasso
• Boost
• Rbgl

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A note on two problems in connexion with graphs
• On the shortest spanning subtree of a graph and the traveling salesman problem
• Sparse inverse covariance estimation with the graphical lasso
• Estimating sparse precision matrix: optimal rates of convergence and adaptive estimation
• \(\ell_{1}\)-penalization for mixture regression models
• Rejoinder to the comments on: \(\ell _{1}\)-penalization for mixture regression models
• Introductory lectures on convex optimization. A basic course.
• Adaptive estimation of a quadratic functional by model selection.
• Least squares after model selection in high-dimensional sparse models
• Pivotal estimation via square-root lasso in nonparametric regression
• The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
• High-dimensional graphs and variable selection with the Lasso
• Sparse Matrix Inversion with Scaled Lasso
• A Constrainedℓ₁Minimization Approach to Sparse Precision Matrix Estimation
• Square-root lasso: pivotal recovery of sparse signals via conic programming
• Scaled sparse linear regression
• A Direct Estimation Approach to Sparse Linear Discriminant Analysis
• Model selection and estimation in the Gaussian graphical model
• Improved matrix uncertainty selector
• Conditional Means and Covariances of Normal Variables with Singular Covariance Matrix
• Sparse nonparametric graphical models