High-dimensional graphs and variable selection with the Lasso

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DOI10.1214/009053606000000281zbMath1113.62082arXivmath/0608017OpenAlexW3098834468WikidataQ105584248 ScholiaQ105584248MaRDI QIDQ2500458

Nicolai Meinshausen, Peter Bühlmann

Publication date: 24 August 2006

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0608017

zbMATH Keywords

penalized regression Gaussian graphical models covariance selection

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Multivariate analysis (62H99) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Applications of graph theory (05C90)

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