High-dimensional covariance estimation by minimizing \(\ell _{1}\)-penalized log-determinant divergence

DOI10.1214/11-EJS631zbMath1274.62190arXiv0811.3628OpenAlexW2097581234MaRDI QIDQ1952214

Martin J. Wainwright, Bin Yu, Garvesh Raskutti, Pradeep Ravikumar

Publication date: 28 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0811.3628

zbMATH Keywords

precisioncovariancesparsityGaussian graphical modelsconcentration\(\ell_1\) regularization

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Parametric inference under constraints (62F30)

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Uses Software

• glasso

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