Graphical lassos for meta‐elliptical distributions

DOI10.1002/CJS.11212MaRDI QIDQ5166409zbMATH OpenOpenAlexFDO

Authors Martin Bilodeau

Publication date 26 June 2014

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/cjs.11212

zbMATH Keywords

graphical modelshigh-dimensional statisticssparse graphsreceiver operating characteristicpartial correlationsmeta-elliptical distributionsmeta-Gaussian distributions

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20) Ridge regression; shrinkage estimators (Lasso) (62J07) Graphical methods in statistics (62A09)

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Cites work

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• Shrinkage Algorithms for MMSE Covariance Estimation
• Sparse inverse covariance estimation with the graphical lasso
• The graphical lasso: new insights and alternatives
• The meta-elliptical distributions with given marginals
• The nonparanormal: semiparametric estimation of high dimensional undirected graphs
• Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models

Cited in

(4)

• Dependence in elliptical partial correlation graphs
• scientific article; zbMATH DE number 7370576 (Why is no real title available?)
• Robust and sparse estimation of the inverse covariance matrix using rank correlation measures
• Change points in heavy‐tailed multivariate time series: Methods using precision matrices

Describes a project that uses

Uses Software

• glasso

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