Confidence intervals for sparse precision matrix estimation via Lasso penalized D-trace loss

DOI10.1080/03610926.2017.1295074zbMath1384.62112OpenAlexW2589090754MaRDI QIDQ4606470

Li Mengmeng, Huang Xudong

Publication date: 7 March 2018

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1295074

zbMATH Keywords

confidence intervalssparsityprecision matrixhigh-dimensionalD-trace loss

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Parametric tolerance and confidence regions (62F25) Ridge regression; shrinkage estimators (Lasso) (62J07)

Related Items

Efficient distributed estimation of high-dimensional sparse precision matrix for transelliptical graphical models

Uses Software

• glasso

Cites Work

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