An efficient ADMM algorithm for high dimensional precision matrix estimation via penalized quadratic loss

DOI10.1016/j.csda.2019.106812OpenAlexW2963301119WikidataQ127459676 ScholiaQ127459676MaRDI QIDQ2008097

Binyan Jiang, Cheng Wang

Publication date: 22 November 2019

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.04545

zbMATH Keywords

ADMMprecision matrixhigh dimensionpenalized quadratic loss

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12)

Related Items (4)

A self-calibrated direct approach to precision matrix estimation and linear discriminant analysis in high dimensions ⋮ An adapted linear discriminant analysis with variable selection for the classification in high-dimension, and an application to medical data ⋮ Precision matrix estimation using penalized generalized Sylvester matrix equation ⋮ A unified precision matrix estimation framework via sparse column-wise inverse operator under weak sparsity

Uses Software

• glasso
• FASTCLIME
• QUIC

Cites Work

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