Fast and Adaptive Sparse Precision Matrix Estimation in High Dimensions
This paper proposes a new method for estimating sparse precision matrices in the high dimensional setting. It has been popular to study fast computation and adaptive procedures for this problem. We propose a novel approach, called Sparse Column-wise Inverse Operator, to address these two issues. We...
| Veröffentlicht in: | Journal of multivariate analysis. - 1998. - 135(2015) vom: 01. März, Seite 153-162 |
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| Format: | Aufsatz |
| Sprache: | English |
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2015
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| Zugriff auf das übergeordnete Werk: | Journal of multivariate analysis |
| Schlagworte: | Journal Article Adaptivity Convergence rates Coordinate descent Cross validation Gaussian graphical models Lasso |