Coordinate descent algorithm for covariance graphical Lasso
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Publication:892800
DOI10.1007/S11222-013-9385-5zbMATH Open1325.62136OpenAlexW2010467272MaRDI QIDQ892800FDOQ892800
Authors: Hao Wang 
Publication date: 12 November 2015
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11222-013-9385-5
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regularizationshrinkagecovariance matrix estimationMM algorithmsparsitycoordinate descent\(L_1\) penaltycovariance graphical Lassomarginal independence
Cites Work
- Sparse estimation of a covariance matrix
- Coordinate descent algorithms for nonconvex penalized regression, with applications to biological feature selection
- Pathwise coordinate optimization
- Coordinate descent algorithms for lasso penalized regression
- Convergence of a block coordinate descent method for nondifferentiable minimization
- Sparse inverse covariance estimation with the graphical lasso
Cited In (12)
- Scaling it up: stochastic search structure learning in graphical models
- Coordinate descent algorithms for lasso penalized regression
- A Large-Scale Constrained Joint Modeling Approach for Predicting User Activity, Engagement, and Churn With Application to Freemium Mobile Games
- A random covariance model for bi‐level graphical modeling with application to resting‐state fMRI data
- Covariance structure estimation with Laplace approximation
- Estimation of multivariate dependence structures via constrained maximum likelihood
- Precision matrix estimation under the horseshoe-like prior-penalty dual
- Inequalities on partial correlations in Gaussian graphical models containing star shapes
- Group-wise shrinkage estimation in penalized model-based clustering
- Adaptive Randomized Coordinate Descent for Sparse Systems: Lasso and Greedy Algorithms
- Unbalanced distributed estimation and inference for the precision matrix in Gaussian graphical models
- The graphical lasso: new insights and alternatives
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