A note on the Lasso for Gaussian graphical model selection
Inspired by the success of the Lasso for regression analysis, it seems attractive to estimate the graph of a multivariate normal distribution by ℓ1-norm penalized likelihood maximization. We examine some properties of the estimator and show that care has to be taken with interpretation of results as...
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| Format: | Journal article |
| Language: | English |
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2008
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