Graphical lassos for meta‐elliptical distributions

DOI10.1002/cjs.11212zbMath1349.62204OpenAlexW1931382127MaRDI QIDQ5166409

Martin Bilodeau

Publication date: 26 June 2014

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

Full work available at URL: https://doi.org/10.1002/cjs.11212

zbMATH Keywords

graphical modelsreceiver operating characteristichigh-dimensional statisticssparse graphspartial correlationsmeta-elliptical distributionsmeta-Gaussian distributions

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Measures of association (correlation, canonical correlation, etc.) (62H20) Graphical methods in statistics (62A09)

Related Items (4)

Unnamed Item ⋮ Robust and Sparse Estimation of the Inverse Covariance Matrix Using Rank Correlation Measures ⋮ Dependence in elliptical partial correlation graphs ⋮ Change points in heavy‐tailed multivariate time series: Methods using precision matrices

Uses Software

• glasso

Cites Work

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