High-dimensional Covariance Estimation Based On Gaussian Graphical Models

ZhouShuheng; RütimannPhilipp; XuMin; BühlmannPeter

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High-dimensional Covariance Estimation Based On Gaussian Graphical Models

ZhouShuheng RütimannPhilipp XuMin BühlmannPeter

Year: 2011 Journal: Journal of Machine Learning Research Publisher: The MIT Press

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Abstract

Undirected graphs are often used to describe high dimensional distributions. Under sparsity conditions, the graph can be estimated using l1-penalization methods. We propose and study the following ...

Keywords:

Covariance Graphical model Gaussian Computer science Estimation Covariance function Estimation of covariance matrices Artificial intelligence Gaussian process Pattern recognition (psychology) Mathematics Algorithm Machine learning Statistics Engineering Physics

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Statistical Methods and Inference

Physical Sciences → Mathematics → Statistics and Probability

Advanced Statistical Methods and Models

Physical Sciences → Mathematics → Statistics and Probability

Gaussian Processes and Bayesian Inference

Physical Sciences → Computer Science → Artificial Intelligence

High-dimensional Covariance Estimation Based On Gaussian Graphical Models

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