Adjusting for high-dimensional covariates in sparse precision matrix estimation by Lasso penalized D-trace loss

DOI10.3969/J.ISSN.1001-4268.2019.05.001MaRDI QIDQ3307474zbMATH OpenFDO

Authors Xudong Huang, G. P. Wang, Mengmeng Li

Publication date 12 August 2020

zbMATH Keywords

regression coefficients matrixsparse precision matrixD-trace losshigh-dimension covariates

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

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• Precision matrix estimation using penalized generalized Sylvester matrix equation
• D-trace estimation of a precision matrix using adaptive lasso penalties
• Efficient distributed estimation of high-dimensional sparse precision matrix

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