Sparse inverse covariance estimation with the graphical lasso

DOI10.1093/BIOSTATISTICS/KXM045zbMATH Open1143.62076OpenAlexW2132555912WikidataQ34484010 ScholiaQ34484010MaRDI QIDQ150076FDOQ150076

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

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

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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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• Stable graphical model estimation with random forests for discrete, continuous, and mixed variables
• A focused information criterion for graphical models
• Censored linear model in high dimensions. Penalised linear regression on high-dimensional data with left-censored response variable
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• Tuning-free heterogeneous inference in massive networks
• Fitting very large sparse Gaussian graphical models
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• The geometry of least squares in the 21st century
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• An efficient surrogate model for emulation and physics extraction of large eddy simulations
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• Coordinate descent algorithms
• Statistical paleoclimate reconstructions via Markov random fields
• Strong oracle optimality of folded concave penalized estimation
• Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage
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• Sparse Matrix Graphical Models
• Graphical group ridge
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• Estimation of multiple networks in Gaussian mixture models
• Higher criticism for large-scale inference, especially for rare and weak effects
• Estimating sparse precision matrix: optimal rates of convergence and adaptive estimation
• Efficient estimation of covariance selection models
• A Penalized Likelihood Method for Classification With Matrix-Valued Predictors
• Sparse reduced-rank regression with covariance estimation
• Modeling item-item similarities for personalized recommendations on Yahoo! front page
• Conditional score matching for high-dimensional partial graphical models
• High-Dimensional Gaussian Graphical Regression Models with Covariates
• Change-point detection in high-dimensional covariance structure
• Model-based clustering of high-dimensional data: a review
• High-dimensional semiparametric Gaussian copula graphical models
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• Likelihood-free inference in high dimensions with synthetic likelihood
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• Node-structured integrative Gaussian graphical model guided by pathway information
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• A constrained \(\ell _{1}\) minimization approach to sparse precision matrix estimation
• Likelihood-based selection and sharp parameter estimation
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• Bootstrap inference for network construction with an application to a breast cancer microarray study
• High-dimensional covariance estimation by minimizing \(\ell _{1}\)-penalized log-determinant divergence
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Uses Software

• glasso

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