Robust estimation of sparse precision matrix using adaptive weighted graphical lasso approach

DOI10.1080/10485252.2021.1931688zbMath1472.62083arXiv2105.06852OpenAlexW3173070450MaRDI QIDQ5012345

Peng Tang, Huijing Jiang, Xinwei Deng, Hee-Young Kim

Publication date: 1 September 2021

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

Full work available at URL: https://arxiv.org/abs/2105.06852

zbMATH Keywords

robustnessundirected graphintegrated squared errorinverse covariance matrixweighted graphical Lasso

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Probabilistic graphical models (62H22)

Related Items

Improvement on LASSO-type estimator in nonparametric regression

Uses Software

• glasso

Cites Work

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