Exact covariance thresholding into connected components for large-scale graphical lasso

zbMATH Open1283.62148arXiv1108.3829MaRDI QIDQ5405145FDOQ5405145

Authors: Rahul Mazumder, Trevor Hastie 

Publication date: 1 April 2014

Full work available at URL: https://arxiv.org/abs/1108.3829

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zbMATH Keywords

Gaussian graphical modelssparsityconcentration graphgraphical lassosparse inverse covariance selectiongraph connected componentslarge scale covariance estimation

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Applications of graph theory (05C90) Ridge regression; shrinkage estimators (Lasso) (62J07)

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• Weak signals in high-dimensional regression: detection, estimation and prediction
• Tensor graphical Lasso (TeraLasso)
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• Consensus graph learning for auto-weighted multi-view projection clustering
• On the existence of the weighted bridge penalized Gaussian likelihood precision matrix estimator
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• Graphical lassos for meta‐elliptical distributions
• Graphical Lasso and thresholding: equivalence and closed-form solutions
• A note on the lack of symmetry in the graphical lasso
• The graphical lasso: new insights and alternatives
• Bayesian analysis of nonparanormal graphical models using rank-likelihood

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