Graphical lassos for meta‐elliptical distributions

DOI10.1002/cjs.11212zbMath1349.62204MaRDI QIDQ5166409

Martin Bilodeau

Publication date: 26 June 2014

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

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

zbMATH Keywords

graphical models; receiver operating characteristic; high-dimensional statistics; sparse graphs; partial correlations; meta-elliptical distributions; meta-Gaussian distributions

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62J07: Ridge regression; shrinkage estimators (Lasso)

62H20: Measures of association (correlation, canonical correlation, etc.)

62A09: Graphical methods in statistics

Related Items

Unnamed Item, Change points in heavy‐tailed multivariate time series: Methods using precision matrices, Dependence in elliptical partial correlation graphs, Robust and Sparse Estimation of the Inverse Covariance Matrix Using Rank Correlation Measures

Uses Software

• glasso

Cites Work

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