Sparse inverse covariance estimation with the graphical lasso

DOI10.1093/biostatistics/kxm045zbMath1143.62076OpenAlexW2132555912WikidataQ34484010 ScholiaQ34484010MaRDI QIDQ150076

Trevor Hastie, Robert Tibshirani, Jerome H. Friedman, Robert Tibshirani, Trevor Hastie, Jerome H. Friedman

Publication date: 12 December 2007

Published in: Biostatistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biostatistics/kxm045

zbMATH Keywords

graphical modelGaussian covarianceL1

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10) Applications of graph theory (05C90)

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classification, Differentially private precision matrix estimation, Multilevel Gaussian graphical model for multilevel networks, Large covariance estimation through elliptical factor models, Dependence modelling in ultra high dimensions with vine copulas and the graphical Lasso, Time series graphical Lasso and sparse VAR estimation, Sparse conditional copula models for structured output regression, Structure learning of sparse directed acyclic graphs incorporating the scale-free property, Variable selection in model-based clustering and discriminant analysis with a regularization approach, D-trace estimation of a precision matrix using adaptive lasso penalties, Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage, Graph-based sparse linear discriminant analysis for high-dimensional classification, Bayesian analysis of nonparanormal graphical models using rank-likelihood, Precision matrix estimation using penalized generalized Sylvester matrix equation, Sparse covariance matrix estimation in high-dimensional deconvolution, Kronecker-structured covariance models for multiway data, Network-based discriminant analysis for multiclassification, Group-wise shrinkage estimation in penalized model-based clustering, Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data, Structural properties of affine sparsity constraints, Computation of the maximum likelihood estimator in low-rank factor analysis, A Bayesian graphical approach for large-scale portfolio management with fewer historical data, Robust and Sparse Estimation of the Inverse Covariance Matrix Using Rank Correlation Measures, Supervised classifiers for high-dimensional higher-order data with locally doubly exchangeable covariance structure, Optimal classification in sparse Gaussian graphic model, Penalized estimation in high-dimensional hidden Markov models with state-specific graphical models, Covariance and precision matrix estimation for high-dimensional time series, Structure estimation for discrete graphical models: generalized covariance matrices and their inverses, Regularized multivariate regression models with skew-\(t\) error distributions, Graphical model selection and estimation for high dimensional tensor data, Random matrix theory in statistics: a review, G-Lasso Network Analysis for Functional Data, Ising models for neural activity inferred via selective cluster expansion: structural and coding properties, On inferring presence of an individual in a mixture: a Bayesian approach, On High-Dimensional Constrained Maximum Likelihood Inference, An efficient method for identifying statistical interactors in gene association networks, Learning Oncogenic Pathways from Binary Genomic Instability Data, Regularized Parameter Estimation in High-Dimensional Gaussian Mixture Models, RSG: Beating Subgradient Method without Smoothness and Strong Convexity, Estimation of Graphical Models through Structured Norm Minimization, Simultaneous Clustering and Estimation of Heterogeneous Graphical Models, Unnamed Item, Unnamed Item, Strong oracle optimality of folded concave penalized estimation, Block Coordinate Descent Methods for Semidefinite Programming, Regularised Manova for High-Dimensional Data, Sparse and low-rank covariance matrix estimation, Outlier Detection in High Dimension Using Regularization, Differential Covariance: A New Method to Estimate Functional Connectivity in fMRI, Model-based clustering for populations of networks, A Gaussian graphical model approach to climate networks, Selection of the Regularization Parameter in Graphical Models Using Network Characteristics, Efficient Adaptive MCMC Through Precision Estimation, An Expectation Conditional Maximization Approach for Gaussian Graphical Models, Simultaneous Variable and Covariance Selection With the Multivariate Spike-and-Slab LASSO, Estimating Time-Varying Graphical Models, Estimation of sparse directed acyclic graphs for multivariate counts data, Inequalities on partial correlations in Gaussian graphical models containing star shapes, A Multilevel Framework for Sparse Optimization with Application to Inverse Covariance Estimation and Logistic Regression, Multivariate Gaussian network structure learning, Sparse precision matrices for minimum variance portfolios, Multiclass analysis and prediction with network structured covariates, High-dimensional generalized linear models incorporating graphical structure among predictors, Temporal hierarchies with autocorrelation for load forecasting, Selection of sparse vine copulas in high dimensions with the Lasso, Selecting the tuning parameter in penalized Gaussian graphical models, Model-based clustering with sparse covariance matrices, Copulas in Machine Learning, Inferring network structure in non-normal and mixed discrete-continuous genomic data, Integrative analysis of transcriptomic and metabolomic data via sparse canonical correlation analysis with incorporation of biological information, An Efficient Surrogate Model for Emulation and Physics Extraction of Large Eddy Simulations, Localizing differentially evolving covariance structures via scan statistics, A Nonparametric Graphical Model for Functional Data With Application to Brain Networks Based on fMRI, On model selection consistency of regularized M-estimators, Estimation of positive definite \(M\)-matrices and structure learning for attractive Gaussian Markov random fields, Linear estimating equations for exponential families with application to Gaussian linear concentration models, Optimal estimation and rank detection for sparse spiked covariance matrices, Tests for mean vectors in high dimension, Coordinate descent algorithms, Inferring gene-gene interactions and functional modules using sparse canonical correlation analysis, Statistical paleoclimate reconstructions via Markov random fields, Innovated interaction screening for high-dimensional nonlinear classification

Uses Software

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