Partial Gaussian Graphical Model Estimation
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Abstract: This paper studies the partial estimation of Gaussian graphical models from high-dimensional empirical observations. We derive a convex formulation for this problem using -regularized maximum-likelihood estimation, which can be solved via a block coordinate descent algorithm. Statistical estimation performance can be established for our method. The proposed approach has competitive empirical performance compared to existing methods, as demonstrated by various experiments on synthetic and real datasets.
Cited in
(13)- Structured regularization for conditional Gaussian graphical models
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- The conditional censored graphical Lasso estimator
- Density and graph estimation with smoothing splines and conditional Gaussian graphical models
- Conditional graphical models with a hierarchical sparse estimation
- Inter-subject analysis: a partial Gaussian graphical model approach
- Estimation of the error structure in multivariate response linear regression models
- Sparse conditional copula models for structured output regression
- A Bayesian approach for partial Gaussian graphical models with sparsity
- Conditional score matching for high-dimensional partial graphical models
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