High-dimensional Gaussian model selection on a Gaussian design
نویسندگان
چکیده
منابع مشابه
High-dimensional Gaussian model selection on a Gaussian design
We consider the problem of estimating the conditional mean of a real Gaussian variable Y = ∑p i=1 θiXi+ ǫ where the vector of the covariates (Xi)1≤i≤p follows a joint Gaussian distribution. This issue often occurs when one aims at estimating the graph or the distribution of a Gaussian graphical model. We introduce a general model selection procedure which is based on the minimization of a penal...
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ژورنال
عنوان ژورنال: Annales de l'Institut Henri Poincaré, Probabilités et Statistiques
سال: 2010
ISSN: 0246-0203
DOI: 10.1214/09-aihp321