Graphical lassos for meta‐elliptical distributions

DOI10.1002/CJS.11212zbMATH Open1349.62204OpenAlexW1931382127MaRDI QIDQ5166409FDOQ5166409

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

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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)

Cites Work

• The graphical lasso: new insights and alternatives
• High-dimensional semiparametric Gaussian copula graphical models
• High-dimensional graphs and variable selection with the Lasso
• The nonparanormal: semiparametric estimation of high dimensional undirected graphs
• A well-conditioned estimator for large-dimensional covariance matrices
• Sparse inverse covariance estimation with the graphical lasso
• Title not available (Why is that?)
• Model selection and estimation in the Gaussian graphical model
• Title not available (Why is that?)
• Robust graphical modeling of gene networks using classical and alternative \(t\)-distributions
• The meta-elliptical distributions with given marginals
• Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models
• Redescending \(M\)-estimates of multivariate location and scatter
• Robust Gaussian graphical modeling
• Elliptical graphical modelling
• Multivariate extremes, aggregation and dependence in elliptical distributions
• Title not available (Why is that?)
• A Computer Method for Calculating Kendall's Tau with Ungrouped Data
• Shrinkage Algorithms for MMSE Covariance Estimation
• Robust concentration graph model selection
• Robustness and efficiency properties of scatter matrices
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• A bivariate meta-Gaussian density for use in hydrology

Cited In (4)

• Dependence in elliptical partial correlation graphs
• Title not available (Why is that?)
• Change points in heavy‐tailed multivariate time series: Methods using precision matrices
• Robust and Sparse Estimation of the Inverse Covariance Matrix Using Rank Correlation Measures

Uses Software

• glasso

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