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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| Summary: | 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 the estimator is not consistent for some graphs. © 2007 Elsevier Ltd. All rights reserved. |
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