A computationally fast alternative to cross-validation in penalized Gaussian graphical models

DOI10.1080/00949655.2014.992020OpenAlexW2156489193MaRDI QIDQ5220930

Ivan Vujačić, Antonino Abbruzzo, Ernst C. Wit

Publication date: 27 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.6216

zbMATH Keywords

cross-validationGaussian graphical modelinformation criteriaKullback-Leibler losspenalized estimationgeneralized approximate cross-validation

Mathematics Subject Classification ID

Multivariate analysis (62H99) Estimation in multivariate analysis (62H12) Parametric inference under constraints (62F30) Bootstrap, jackknife and other resampling methods (62F40) Stochastic network models in operations research (90B15)

Related Items (7)

Model selection for factorial Gaussian graphical models with an application to dynamic regulatory networks ⋮ Ridge estimation of inverse covariance matrices from high-dimensional data ⋮ Partial correlation graphical LASSO ⋮ Edge selection for undirected graphs ⋮ Model-based clustering for populations of networks ⋮ The spectral condition number plot for regularization parameter evaluation ⋮ Selecting the tuning parameter in penalized Gaussian graphical models

Uses Software

• glasso
• huge
• MIM

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Sparse inverse covariance estimation with the graphical lasso
• Shrinkage tuning parameter selection in precision matrices estimation
• Bias correction of cross-validation criterion based on Kullback-Leibler information under a general condition
• Sparsistency and rates of convergence in large covariance matrix estimation
• Sparse permutation invariant covariance estimation
• Network exploration via the adaptive LASSO and SCAD penalties
• On Robust Gaussian Graphical Modeling
• Gradient directed regularization for sparse Gaussian concentration graphs, with applications to inference of genetic networks
• Model selection and estimation in the Gaussian graphical model
• Introduction to Graphical Modelling
• The huge Package for High-dimensional Undirected Graph Estimation in R
• On Information and Sufficiency

This page was built for publication: A computationally fast alternative to cross-validation in penalized Gaussian graphical models