Robust sparse Gaussian graphical modeling

DOI10.1016/j.jmva.2017.07.012zbMath1373.62253arXiv1508.05571OpenAlexW2963797419MaRDI QIDQ2404420

Kei Hirose, Hironori Fujisawa, Jun Sese

Publication date: 18 September 2017

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.05571

zbMATH Keywords

robust estimationgraphical Lasso\(\gamma\)-divergencemajorize-minimization algorithm

Mathematics Subject Classification ID

Multivariate analysis (62H99) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (3)

Robust Bayesian inference via γ-divergence ⋮ Robust Time-Varying Undirected Graphs ⋮ Robust Bayesian model selection for variable clustering with the Gaussian graphical model

Uses Software

• glasso
• hglasso
• MIM
• ROCKET

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