Shrinkage tuning parameter selection in precision matrices estimation

DOI10.1016/j.jspi.2011.03.008zbMath1213.62099arXiv0909.1123OpenAlexW1556261580MaRDI QIDQ538141

Heng Lian

Publication date: 23 May 2011

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0909.1123

zbMATH Keywords

BICprecision matrixSCAD penaltyadaptive lassogeneralized approximate cross-validation

Mathematics Subject Classification ID

Related Items (8)

Ridge estimation of inverse covariance matrices from high-dimensional data ⋮ Group-wise shrinkage estimation in penalized model-based clustering ⋮ Partial correlation graphical LASSO ⋮ MARS as an alternative approach of Gaussian graphical model for biochemical networks ⋮ A computationally fast alternative to cross-validation in penalized Gaussian graphical models ⋮ The spectral condition number plot for regularization parameter evaluation ⋮ Selecting the tuning parameter in penalized Gaussian graphical models ⋮ Estimation of a sparse and spiked covariance matrix

Uses Software

• glasso
• PRMLT

Cites Work

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• Asymptotic Statistics
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Tuning parameter selectors for the smoothly clipped absolute deviation method

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