Targeted fused ridge estimation of inverse covariance matrices from multiple high-dimensional data classes

MaRDI QIDQ4969062zbMATH OpenFDO

Authors Anders Ellern Bilgrau, Carel F. W. Peeters, Poul Svante Eriksen, Martin Bøgsted, Wessel N. van Wieringen

Publication date 5 October 2020

Full work available at URL https://arxiv.org/abs/1509.07982, https://jmlr.csail.mit.edu/papers/v21/15-509.html

zbMATH Keywords

high-dimensional dataGaussian graphical modeling\(\ell_2\)-penalized maximum likelihooddifferential network estimationgeneralized fused ridgestructural metaanalysis

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10) Estimation in multivariate analysis (62H12) Probabilistic graphical models (62H22) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cites work

• Ridge estimation of inverse covariance matrices from high-dimensional data

Cited in

(10)

• Testing the differential network between two gaussian graphical models with false discovery rate control
• Joint Gaussian graphical model estimation: a survey
• Promote sign consistency in the joint estimation of precision matrices
• Ridge estimation of inverse covariance matrices from high-dimensional data
• Ridge estimation of covariance matrix from data in two classes.
• A parallel algorithm for ridge-penalized estimation of the multivariate exponential family from data of mixed types
• Updating of the Gaussian graphical model through targeted penalized estimation
• Smoothly adaptively centered ridge estimator
• Estimating Multiple Precision Matrices With Cluster Fusion Regularization
• Estimation of multiple networks with common structures in heterogeneous subgroups

Describes a project that uses

Uses Software

• rags2ridges

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