On estimation of the diagonal elements of a sparse precision matrix

DOI10.1214/16-EJS1148zbMath1342.62088arXiv1504.04696MaRDI QIDQ302437

Samuel Balmand, Arnak S. Dalalyan

Publication date: 5 July 2016

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.04696

zbMATH Keywords

sparse recoveryprecision matrixpenalized likelihood

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

Related Items (2)

Fast estimates for the diagonal of the inverse of large scale matrices appearing in applications ⋮ Robust Estimators in High-Dimensions Without the Computational Intractability

Uses Software

• Mosek
• glasso
• Boost
• Rbgl

Cites Work

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