Comparison of model selection criteria in graphical LASSO
نویسندگان
چکیده
منابع مشابه
A Note on the Lasso for Gaussian Graphical Model Selection
Inspired by the success of the Lasso for regression analysis (Tibshirani, 1996), it seems attractive to estimate the graph of a multivariate normal distribution by `1-norm penalised likelihood maximisation. The objective function is convex and the graph estimator can thus be computed efficiently, even for very large graphs. However, we show in this note that the resulting estimator is not consi...
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ژورنال
عنوان ژورنال: Journal of the Korean Data and Information Science Society
سال: 2014
ISSN: 1598-9402
DOI: 10.7465/jkdi.2014.25.4.881