Simultaneous multiple response regression and inverse covariance matrix estimation via penalized Gaussian maximum likelihood

DOI10.1016/j.jmva.2012.03.013zbMath1259.62043OpenAlexW2084847607WikidataQ42229538 ScholiaQ42229538MaRDI QIDQ444979

Wonyul Lee, Yu Feng Liu

Publication date: 24 August 2012

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2012.03.013

zbMATH Keywords

sparsityLASSOjoint estimationGLASSOmultiple response

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

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Uses Software

• glasso

Cites Work

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