Thresholded graphical lasso adjusts for latent variables

DOI10.1093/BIOMET/ASAC060MaRDI QIDQ6191101zbMATH OpenOpenAlexFDO

Authors Minjie Wang, Genevera I. Allen

Publication date 9 February 2024

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/asac060

zbMATH Keywords

Gaussian graphical modelgraph selectionlatent variable graphical modelthresholding

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(3)

• Local Whittle estimation of high-dimensional long-run variance and precision matrices
• High-dimensional covariance estimation by pairwise likelihood truncation
• Learning extremal graphical structures in high dimensions

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