High-dimensional graphs and variable selection with the Lasso
The pattern of zero entries in the inverse covariance matrix of a multivariate normal distribution corresponds to conditional independence restrictions between variables. Covariance selection aims at estimating those structural zeros from data. We show that neighborhood selection with the Lasso is a...
| Main Authors: | , |
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| 格式: | Journal article |
| 語言: | English |
| 出版: |
2006
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