A Pathwise Algorithm for Covariance Selection

Details A Pathwise Algorithm for Covariance Selection A Pathwise Algorithm for Covariance Selection

2009-08-02

arxiv.org/abs/0908.0143v2

Mathematics

Optimization and Control

More details & numerical experiments. Not all figures could be uploaded on arXiv. Please get local pdf file for complete numer

Scientific paper

Covariance selection seeks to estimate a covariance matrix by maximum likelihood while restricting the number of nonzero inverse covariance matrix coefficients. A single penalty parameter usually controls the tradeoff between log likelihood and sparsity in the inverse matrix. We describe an efficient algorithm for computing a full regularization path of solutions to this problem.

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