AdaptiveGlasso (Q7401844)
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Adaptive Graphical Lasso for Sparse Network Estimation
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | AdaptiveGlasso |
Adaptive Graphical Lasso for Sparse Network Estimation |
Statements
Implements an adaptive graphical lasso method for sparse precision matrix and network estimation. The method combines ridge stabilization, cross-validated regularization, an initial graphical lasso estimate, and adaptive edge-specific penalties to estimate sparse conditional dependence structures. The method supports settings where the sample size is smaller than, equal to, or larger than the number of variables.
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24 October 2026
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