Topology Adaptive Graph Estimation in High Dimensions

We introduce Graphical TREX (GTREX), a novel method for graph estimation in high-dimensional Gaussian graphical models. By conducting neighborhood selection with TREX, GTREX avoids tuning parameters and is adaptive to the graph topology. We compared GTREX with standard methods on a new simulation se...

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Bibliographic Details
Main Authors: Johannes Lederer, Christian L. Müller
Format: Article
Language:English
Published: MDPI AG 2022-04-01
Series:Mathematics
Subjects:
Online Access:https://www.mdpi.com/2227-7390/10/8/1244