Sparse Matrix Inversion with Scaled Lasso

zbMath1318.62184arXiv1202.2723MaRDI QIDQ2933952

Publication date: 8 December 2014

Full work available at URL: https://arxiv.org/abs/1202.2723

inverse matrix linear regression graphical model precision matrix concentration matrix spectrum norm scaled Lasso

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

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