A closed-form matrix regularization parameter for ℓ1-regularized Gaussian MLE, obtained by fixing reselection probability of nonzero entries, matches CV accuracy and support recovery at far lower cost.
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The Regularization Parameter: Sparse Precision Matrix Estimation
A closed-form matrix regularization parameter for ℓ1-regularized Gaussian MLE, obtained by fixing reselection probability of nonzero entries, matches CV accuracy and support recovery at far lower cost.