Robust Multivariate Lasso Regression with Covariance Estimation

DOI10.1080/10618600.2022.2118752MaRDI QIDQ6180726zbMATH OpenOpenAlexFDO

Authors Le Chang, Alan H. Welsh

Publication date 22 January 2024

Published in Journal of Computational and Graphical Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10618600.2022.2118752

zbMATH Keywords

graphical LassoLassomultivariate regressionoracal propertyproximal gradient algorithmrobust estimation

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(3)

• Estimation of the error structure in multivariate response linear regression models
• Sparse multivariate linear regression with strongly associated response variables
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