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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Detalles Bibliográficos
Autor Principal: Meinshausen, N
Formato: Journal article
Idioma:English
Publicado: 2008