An efficient GPU-parallel coordinate descent algorithm for sparse precision matrix estimation via scaled Lasso
From MaRDI portal
Publication:6104410
DOI10.1007/s00180-022-01224-5arXiv2203.15031MaRDI QIDQ6104410
Donghyeon Yu, Sang-cheol Kim, Seung-Hwan Lee
Publication date: 15 June 2023
Published in: Computational Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2203.15031
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Sparse inverse covariance estimation with the graphical lasso
- Asymptotic normality and optimalities in estimation of large Gaussian graphical models
- Estimating sparse precision matrix: optimal rates of convergence and adaptive estimation
- Optimal rates of convergence for covariance matrix estimation
- Covariance regularization by thresholding
- Least angle regression. (With discussion)
- The graphical lasso: new insights and alternatives
- On the conditions used to prove oracle results for the Lasso
- Regularized estimation of large covariance matrices
- Coordinate descent algorithms for lasso penalized regression
- High-dimensional graphs and variable selection with the Lasso
- Sparse Matrix Inversion with Scaled Lasso
- A Constrainedℓ1Minimization Approach to Sparse Precision Matrix Estimation
- Adaptive Thresholding for Sparse Covariance Matrix Estimation
- Emergence of Scaling in Random Networks
- Scaled sparse linear regression
- Model selection and estimation in the Gaussian graphical model
- Large Sample Covariance Matrices and High-Dimensional Data Analysis
- Partial Correlation Estimation by Joint Sparse Regression Models
- Generalized Thresholding of Large Covariance Matrices
- A Convex Pseudolikelihood Framework for High Dimensional Partial Correlation Estimation with Convergence Guarantees
- Convergence of a block coordinate descent method for nondifferentiable minimization
This page was built for publication: An efficient GPU-parallel coordinate descent algorithm for sparse precision matrix estimation via scaled Lasso