Improving the graphical lasso estimation for the precision matrix through roots ot the sample convariance matrix Working Papers uri icon

publication date

  • 2014

series title

  • Statistics and Econometrics Series

series number

  • 14-08

subjects

  • Statistics

keywords

  • gaussian graphical models; gene expression; high-dimensionality; inverse covariance matrix; penalized estimation; portfolio selection; root of a matrix